이익 변화 방향에 대한 재무분석가의 예측 일관성이 주가잔류현상에 미치는 영향

This study examines the relation between the analysts forecast consistency and post－earnings announcement drift(hereafter, PEAD). We posit that when analysts provide consistent information regarding earnings increase/decrease before the earnings announcement and also forecast correctly the same as the actual earnings change, their forecasting behavior acts as the factor affecting the information uncertainty. In this paper, given that the investors informational inefficiency represented by PEAD phenomenon is affected by information uncertainty, we investigate whether the analysts forecast consistency reduce PEAD due to information verification effect or amplify PEAD due to investor limited attention. The findings reveal that analyst forecast consistency is negatively related to the magnitude of PEAD, indicating that analysts consistency in providing earnings forecast reduces the information uncertainty and consequently makes investors react more efficiently to earnings news. Furthermore, this result is pronounced for firms with more accurate forecast, but weakens in the firms with larger forecast revisions or greater dispersions in earnings forecast. Our findings imply that analysts as intermediaries in the capital market play significant roles in improving market informational efficiency. Overall, this study contributes to the literature on the investor efficiency for earnings information by showing that analysts’ consistent provision of information on future earnings acts as the determinants affecting the information uncertainty and thus influences the magnitude of PEAD.