本研究探討分析師盈餘預測偏誤和未預期盈餘兩者之間的關係，利用事件發生前所產生的盈餘預測偏誤來捕捉之後的未預期盈餘，並進一步探討盈餘預測偏誤的趨勢和累積異常報酬兩者之間是否存在相當程度的關係，希望藉由實際盈餘宣告前，盈餘預測所產生的偏誤來捕捉未來產生的累積異常報酬，能夠預測盈餘宣告後之股票行為。以美國企業為研究對象，盈餘預測日的樣本期間為2010至2015年，為預測公司宣告每季季盈餘的資料。
本研究實證結果發現分析師在預測年度中，所發佈的每周預測的資料筆數以及每周的盈餘預測偏誤之中位數，都是呈現以季為週期波動的現象，但整體而言為向下的趨勢，顯示分析師符合Sweeny and Krizan (2013) 所提出的酒醒(sobering up)現象。此外，本研究實證結果與DeBondt and Thaler (1985) 文獻一致，可能原因為投資人的過度反應，導致短期的累積異常報酬與未預期盈餘呈現顯著正相關，而長期的累積異常報酬與未預期盈餘則為顯著負相關。
本研究結果亦顯示在預測初期的預測偏誤越大，預測年度中有越多筆的預測資料，公司所產生的未預期盈餘越小，而對於預期期初所取的期間越長，期初預測偏誤和預測年度的預測筆數與未預期盈餘之間存在更高的負相關性。此外，實證結果得知短期的期初預測偏誤對短期的累積異常報酬，存在統計上顯著的正相關，而長期的期初預測偏誤與長期的累積異常報酬則存在顯著的負相關，表示預估短期(長期)的CAR，應使用期初期間較短(較長)的期初預測偏誤較準確。

For companies and investors, analysts’ earnings forecasts are a key issue. During forecast periods, analysts will overestimate or underestimate earnings. When the actual earnings are announced, there will be discrepancies between forecasts and actuals, which are called standardized unexpected earnings (SUE). The delayed effect of SUE may cause post-earnings announcement drifts (PEAD), and will result in positive or negative cumulative abnormal returns (CAR).
This research studies the relationship between forecast bias and SUE in order to use forecast bias to estimate SUE. Furthermore, this research also studies if there are any associations between forecast bias trends and CAR in the United States of America. If so, forecast bias could be used to estimate CAR and stocks’ trends after earnings announcements. The sample periods of quarterly earnings forecasts are between January 2010 and December 2015.
One of the results of this study shows that during forecast periods, forecast bias data and the median of forecast bias per week, fluctuate in quarterly periodical trends. In general, the median of forecast bias shows a walk-down trend which is consistent with the “sobering up” phenomenon. Furthermore, at the beginning of forecast periods, analysts tend to be more optimistic than pessimistic.
This paper also proves that there is a positive correlation between short terms initial forecasts bias and short terms CAR, while there is a negative correlation between long terms initial forecasts bias and long terms CAR. Therefore, estimating short terms CAR by short terms initial forecasts bias is more proper than estimating them by long terms’.

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