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Do Investors Learn About Analyst Accuracy?

Author

Listed:
  • Chang, Charles
  • Daouk, Hazem
  • Wang, Albert

Abstract

We study the impact of analyst forecasts on prices to determine whether investors learn about analyst accuracy. Our test market is the crude oil futures market. Prices rise when analysts forecast a decrease (increase) in crude supplies. In the 15 minutes following supply realizations, prices rise (fall) when forecasts have been too high (low). In both the initial price action relative to forecasts and in the subsequent reaction relative to realized forecast errors, the price response is stronger for more accurate analysts. These price reactions imply that investors learn about analyst accuracy and trade accordingly.

Suggested Citation

  • Chang, Charles & Daouk, Hazem & Wang, Albert, 2008. "Do Investors Learn About Analyst Accuracy?," Working Papers 51158, Cornell University, Department of Applied Economics and Management.
    • Handle: RePEc:ags:cudawp:51158
    DOI: 10.22004/ag.econ.51158
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    File URL: https://ageconsearch.umn.edu/record/51158/files/WP%20Daouk%202008-19.pdf
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    Cited by:

    1. Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
    2. Halova Wolfe, Marketa & Rosenman, Robert, 2014. "Bidirectional causality in oil and gas markets," Energy Economics, Elsevier, vol. 42(C), pages 325-331.
    3. Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.

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