This paper aims to investigate the association between analyst forecast dispersion and investors’ perceived uncertainty toward earnings.,A new measure for investors’ expectations of earnings announcement uncertainty is constructed, using changes in implied volatility of option contracts prior to earnings announcements. Unlike other proxies of uncertainty, this measure isolates the incremental uncertainty regarding the upcoming earnings announcement and is a forward-looking measure.,Using this new proxy, this paper finds a significant negative correlation between analyst forecast dispersion and investors’ uncertainty regarding the upcoming earnings announcements. Further tests show that this negative correlation is driven by analysts’ private information acquisition rather than analysts; uncertainty toward upcoming earnings announcements. Additional cross-sectional tests show that this negative relationship is more pronounced in the subsample with lower earnings quality.,This paper helps to further the understanding of the information content of analyst forecast dispersion, particularly the ways in which they gather and produce private information and their incentives for so doing.,This paper introduces a new market-based and forward-looking proxy of earnings announcement uncertainty that should be useful in future research. This paper also provides original empirical evidence that analysts gather and produce an additional private information to the market when facing noisy signals and that their information reduces investors’ uncertainty toward upcoming earnings announcements.

中文翻译：

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分析师预测的分散是否代表投资者对收益的不确定性？

本文旨在研究分析师的预测离散度与投资者对收益的不确定性之间的联系。利用收益公告之前期权合约隐含波动率的变化，构建了一种新的衡量投资者对收益公告不确定性预期的方法。与其他不确定性指标不同，该指标将有关即将公布的收益的不确定性隔离开来，并且是一种前瞻性的指标。使用此新代理，本文发现分析师的预测离散度与投资者对即将公布的收益的不确定性之间存在显着的负相关关系。公告。进一步的测试表明，这种负相关性是由分析人员的私人信息获取而不是分析人员驱动的。即将发布的收益公告存在不确定性。其他横截面测试表明，这种负相关关系在收益质量较低的子样本中更为明显。，本文有助于进一步了解分析师预测离散的信息内容，尤其是他们收集和产生私人信息的方式以及本文介绍了一种新的基于市场的，具有前瞻性的收益公告不确定性代理，该代理在将来的研究中应该很有用。本文还提供了原始的经验证据，表明分析师在面对嘈杂的信号时会收集并向市场提供其他私人信息，并且他们的信息减少了投资者对即将发布的收益的不确定性。