DO CORPORATE PROFIT FORECASTER HERD?—EVIDENCE FROM CANADA, UK AND THE UNITED STATES

Using more than 25 000 corporate profit forecasts for Canada, the United Kingdom and the United States, we find strong evidence of an anti‐herding behaviour. Apparently, corporate profit forecaster intentionally scatter their forecasts around the consensus forecast. We also document that the cross‐sectional heterogeneity of forecasts with regard to anti‐herding translates into cross‐sectional heterogeneity with regard to forecast accuracy. Forecasters who anti‐herd have a substantially higher forecast accuracy that may help to explain the rational bias in macroeconomic forecasting. Copyright © 2012 John Wiley & Sons, Ltd.