The Study Of Stock Excess Returns Before And After The Jump Of The Analysts' Consensus Forecasts

“Analysts' earnings forecast revisions” is a research hotspot in the field of securities analyst behavior.This paper uses the analysts' consensus forecasts of corporate earnings per share(EPS),which is the daily data from the Zhaoyangyongxu Database from January 2010 to December 2018.In this paper,analysts' consensus forecasts of EPS is expected to raise 10% in a single week as the “jumping” threshold to explore whether it is expected to obtain excess returns before and after the jump.The results show that:(1)After eliminate the samples that the dynamic price-earnings ratio is too high or negative,the significant positive cumulative excess returns can be obtained within 10 trading days after the jump day of the analysts' consensus forecasts of EPS.(2)The jump signal of the analysts' consensus forecasts has a certain lag for investment.The cumulative excess return obtained in the 10 trading days before jump is expected to be much higher than the excess return obtained after the jump.This phenomenon may be closely related to the security analyst commission and road show mechanism.Further,this paper explored the factors affecting the excess return of analysts before and after the jump of the analysts' consensus forecasts of EPS.The results show that:(1)The cumulative excess return within 10 trading days after the jump has a significantly positive correlation with the jump amplitude,but has no significant correlation with the consensus forecast base before the jump.Conversely,the cumulative excess return within 10 trading days before the jump is opposite.This phenomenon may be related to the time difference between the institutional investors and individual investors in obtaining new company news.(2)There is a significant negative correlation between the cumulative excess returns within 10 trading days before the analysts' consensus forecast jump and the size of the company's market capitalization,and a significant positive correlation with the analysts' attention of individual stocks.The cumulative excess returns before the jump is the same.(3)If the analysts' consensus forecast jump is expected to occur within 20 days before the company's earnings announcement date,the excess returns after the analysts' consensus forecast jump is significantly higher than other cases,indicating the market investors' reaction is more intense.Therefore,the jump signal before upcoming earnings announcement date contains more information,the content has a relatively higher investment value.(4)Conversely,if the analysts' consensus forecast jump is expected to occur within 20 days after the company's earnings announcement date,the significant positive excess returns cannot be obtained within 10 trading days after the jump,indicating that the market's response to the company's earnings announcement information is relatively fast and strong.Before the analysts sharply revised their earnings forecasts due to positive earnings announcements,the stock price has risen sharply.The analysts' consensus forecast “jump” signal is to be relatively lagging behind,which is unable to bring excess returns to ordinary individual investors.This study helps regulators and investors better understand analyst behavior.Further,by investigating the investment value of the “jump” signal of the analysts' EPS consensus forecast,investors are advised on how to use the analyst's public earnings forecast information to make better investment decisions.