We examine the influence of economic policy uncertainty (EPU) on the characteristics of analysts’ earnings forecasts over a thirty-year period, spanning a wide variety of political and economic conditions. Motivated by both theory and empirical evidence that suggest a decline in the quality of the information environment for firms as EPU increases, we establish that analysts’ forecast errors increase with EPU, as does the degree of forecast dispersion. Increased error and dispersion persist after controlling for several competing sources of economy-wide uncertainty. Cross sectional analysis exploring heterogeneity in forecast quality across both analyst and firm characteristics establishes that forecast error and dispersion increase with EPU across a broad spectrum of firms and levels of analyst expertise. We control for analysts’ experience overall and the years spent covering a particular industry and firm. Five alternative methods for classifying firms as policy sensitive versus policy neutral provide consistent evidence that analyst forecast errors and dispersion increase with EPU, even for firms not deemed to be particularly sensitive to policy.

我们研究了经济政策不确定性 (EPU) 对分析师 30 年间盈利预测特征的影响，跨越各种政治和经济条件。受理论和经验证据的启发，这些证据表明，随着 EPU 的增加，公司信息环境的质量会下降，我们确定分析师的预测误差随着 EPU 的增加而增加，预测分散程度也是如此。在控制了整个经济范围不确定性的几个相互竞争的来源后，错误和分散的增加仍然存在。跨分析师和公司特征的预测质量异质性的横截面分析表明，随着 EPU 在广泛的公司和分析师专业水平上的增加，预测误差和离散度会增加。我们控制分析师的整体经验以及覆盖特定行业和公司的年数。将公司归类为政策敏感与政策中立的五种替代方法提供了一致的证据，表明分析师预测误差和离散度随 EPU 增加，即使对于被认为对政策不是特别敏感的公司也是如此。