This study finds no relationship (a strong relationship) between ex post forecast accuracy (investor sophistication) and the degree to which the consensus analyst earnings forecast outperforms forecasts from seasonal random walk time-series models as proxies for the market's earnings expectations. Analyst forecast errors are value relevant for Japanese securities, but less so than management forecast revisions from prior consensus forecasts. The value relevance of management forecasts was greater after the Tokyo Exchange bubble of the late 1980s.
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