Do Investors Learn About Analyst Accuracy?
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.
|Date of creation:||24 Sep 2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://aem.cornell.edu/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ags:cudawp:51158. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If references are entirely missing, you can add them using this form.