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Profit from analysts’ earnings forecasts consensus? Evidence from Taiwan stock market

Author

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  • Yang, Jerry T.
  • Lin, Meng-Ying
  • Chang, Jow-Ran

Abstract

We propose return-predictive models incorporating analyst forecast earnings growth (FEG) and FEG revisions, both derived from consensus forecasts, to examine their conditional impacts on stock returns. We find that upward FEG-revision portfolios yield an average monthly excess return of 2.11 % over the Taiwan market index, while long–short portfolios generate 2.81 %. These excess returns persist for up to one month after revisions release, suggesting market underreaction to FEG revisions. FEG is positively predicts stock returns only for firms with expected earnings growth or during rising markets, whereas upward (downward) revisions consistently increase (decrease) stock returns. Our findings demonstrate the return-predictive power of FEG and FEG revisions and provide behavioral insights into market and analyst responses.

Suggested Citation

  • Yang, Jerry T. & Lin, Meng-Ying & Chang, Jow-Ran, 2026. "Profit from analysts’ earnings forecasts consensus? Evidence from Taiwan stock market," Finance Research Letters, Elsevier, vol. 88(C).
    • Handle: RePEc:eee:finlet:v:88:y:2026:i:c:s1544612325024134
    DOI: 10.1016/j.frl.2025.109164
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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