论文标题
带有肥胖过程的期望形成：销售预测的证据
Expectations Formation with Fat-tailed Processes: Evidence from Sales Forecasts
论文作者
论文摘要
我们经验分析了大量公司销售增长预期的样本。我们发现，预测错误与滞后修订之间的关系是非线性的。预测者对未来销售的典型（正面或负面）新闻不反应，但反应过度反应过度。为了说明这种非线性，我们提出了一个简单的框架，其中（1）销售增长动态具有脂肪尾的高频组件，（2）预报员使用简单的线性规则。该框架定性地符合有关销售增长动态，预测错误和股票收益的几个其他数据功能。
We empirically analyze a large sample of firm sales growth expectations. We find that the relationship between forecast errors and lagged revision is non-linear. Forecasters underreact to typical (positive or negative) news about future sales, but overreact to very significant news. To account for this non-linearity, we propose a simple framework, where (1) sales growth dynamics have a fat-tailed high frequency component and (2) forecasters use a simple linear rule. This framework qualitatively fits several additional features of data on sales growth dynamics, forecast errors, and stock returns.
