Keywords

economic fluctuations and growth, information, knowledge, uncertainty

Abstract

This paper seeks to determine whether analyst consensus is a function of the level of price informativeness, and therefore attempts to gauge the extent to which analyst consensus is high when market uncertainty is high. There is the view that a small or declining volume of trading implies less information and lower quality information, and that a lower level of price informativeness will lead analysts to put more weight on their private information at the time of forecasting. We add to this view the notion that when uncertainty is high there might be a positive option value of waiting. In this case, it appears reasonable to conclude that analysts may actually lack consensus when uncertainty is high. If this hypothesis is correct, then one would expect the level of price informativeness to override the Keynesian incentive “to fail conventionally than to succeed unconventionally” or at least reduce its magnitude in periods of declining trading volume and low price discovery. Tests of this hypothesis produce favorable results.

Original Publication Citation

Shilling, J., C.F. Sirmans, and B. Slade, 2013, Who Says there is a High Consensus among Analysts when Market Uncertainty is High? Some New Evidence from the Commercial Real Estate Market, Journal of Real Estate Finance and Economics, Volume 47, Issue 4, pp. 688 – 718.

Document Type

Peer-Reviewed Article

Publication Date

2013

Publisher

Journal of Real Estate Finance and Economics

Language

English

College

Marriott School of Business

Department

Finance

University Standing at Time of Publication

Full Professor

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