"Analysts' Earnings Forecasts and the Value Relevance of Earnings"(in Japanese)

The value relevance of earnings information depends on the information environments that investors face. In general, under the highly uncertain circumstances, information is not completely nor instantly reflected in stock prices and so the value relevance of earnings is low. The purpose of this paper is to estimate the uncertainty of information environments by data of analysts' earnings forecasts and to investigate the relationship between the uncertainty and the relevance of earnings in JP and US market. In US, though the dispersion of forecasts causes subsequent positive returns, it makes the value relevance of earnings higher. However, it seems that the divergence of opinion does not determine the information environments in JP. In JP, we cannot find the evident relationship between the dispersion and the relevance of earnings. On the other hand, analyst coverage does not affect the relevance of earnings in US while the earnings is more value relevant for firms covered by analysts than firms uncovered in JP. Moreover, the effect of optimistic forecast errors on the value relevance of earnings differs between JP and US. Our results show that earnings is value relevant and earnings information is almost efficiently reflected in stock prices while the subsequent anomalous returns concerning analysts' forecasts exist. Empirical evidence indicates that the information environments in JP are different from that in US and that the relationship between environments and the relevance of earnings also differs. This paper provides the valuable evidence against prior international comparative studies that neglect the differences in information environments.