Optimist? Javisst!

Sammanfattning: The main objective of this paper is to examine the role of equity research analysts as a source of information to investment decisions by analyzing the accuracy of consensus estimates in the Swedish stock market in 2011-2020. The study expects to provide an overview of the accuracy of consensus estimates and thus contribute to educating investors about when estimates are reliable. The ambition is to identify if, and in that case how, the forecast horizon and company size affects the forecast accuracy. By investigating the level of bias and efficiency of 11 371 revenue and EPS consensus estimates, this study finds that analysts are optimistic, in particular regarding EPS. In addition, this study concludes that the forecast accuracy is significantly worsened for smaller companies and longer forecast horizons. Lastly, we find that last year's EPS is a more reliable indicator of the future than the consensus estimate for smaller companies.