Analyst Forecast Revisions and Market Price Discovery
We document several factors that help explain cross-sectional variations in the post-revision price drift associated with analyst forecast revisions. First, the market does not make a sufficient distinction between revisions that provide new information ("high-innovation" revisions) and re...
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| Veröffentlicht in: | The Accounting review 2003-01, Vol.78 (1), p.193-225 |
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| creator | Gleason, Cristi A. Charles M. C. Lee |
| description | We document several factors that help explain cross-sectional variations in the post-revision price drift associated with analyst forecast revisions. First, the market does not make a sufficient distinction between revisions that provide new information ("high-innovation" revisions) and revisions that merely move toward the consensus ("low-innovation" revisions). Second, the price adjustment process is faster and more complete for "celebrity" analysts (Institutional Investor All-Stars) than for more obscure yet highly accurate analysts (Wall Street Journal Earnings-Estimators). Third, controlling for other factors, the price adjustment process is faster and more complete for firms with greater analyst coverage. Finally, a substantial portion of the delayed price adjustment occurs around subsequent earnings-announcement and forecast-revision dates. Collectively, these findings show that more subtle aspects of an earnings revision signal can hinder the efficacy of market price discovery, particularly in firms with relatively low analyst coverage, and that subsequent earnings-related news events serve as catalysts in the price discovery process. |
| doi_str_mv | 10.2308/accr.2003.78.1.193 |
| format | Article |
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| subjects | Analysis Analysts Analytical forecasting Earnings Earnings forecasting Economic forecasts Financial analysis Financial analysts Financial economics Financial reporting Income forecasting Information management Investors Linear regression Market efficiency Market prices Price level changes Price momentum Prices and rates Revisions Statistical analysis Statistical forecasts Statistical median Stock exchanges Stock prices Stocks Studies |
| title | Analyst Forecast Revisions and Market Price Discovery |
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