Abstract
<jats:p>This paper examines analyst earnings forecast accuracy for S&amp;P 500 and Russell 2000 firms from 2015 to 2025, focusing on the COVID-19 pandemic and the subsequent AI era, which began in late 2022. Results show S&amp;P 500 firms consistently have lower forecast errors than Russell 2000 firms, although the difference narrowed during the AI era. During the pandemic, forecast accuracy declined slightly for S&amp;P 500 firms but much more for Russell 2000 firms, while it improved substantially for both groups in the AI era (2023–2025). These results remain similar after reducing the influence of extreme observations. The analysis of signed forecast errors indicates a persistent pessimistic bias for S&amp;P 500 firms, while forecast bias for Russell 2000 firms was weaker and less consistent. An interesting finding is that the historical difference in forecast bias between S&amp;P 500 and Russell 2000 firms disappeared in the AI era and was no longer statistically significant.</jats:p>