Working paper
Analyst Forecast Revisions and Market Price Formation
Parker Center for Investment Working Paper
SSRN
03/19/2002
DOI: 10.2139/ssrn.303980
Abstract
We document several factors that help explain cross-sectional variations in the delayed price response to individual analyst forecast revisions. First, the market does not make a sufficient distinction between those analysts providing new information and others simply quot;herdingquot; toward the consensus. Second, the market responds more completely to quot;celebrityquot; analysts, and under-weights revisions by obscure, but highly accurate, analysts. Third, controlling for firm size, the market price adjustment is more complete for firms with wider analyst coverage. Moreover, a significant portion of the delayed price response is corrected around future earnings news events, particularly forecast revisions by other analysts. Taken together, these findings show that qualitative aspects of an earnings signal can affect the speed and efficacy of the price formation process
Details
- Title: Subtitle
- Analyst Forecast Revisions and Market Price Formation
- Creators
- Cristi A Gleason - University of IowaCharles M. C. Lee - University of Washington
- Resource Type
- Working paper
- Publication Details
- Parker Center for Investment Working Paper
- Publisher
- SSRN
- DOI
- 10.2139/ssrn.303980
- Number of pages
- 43 pages
- Language
- English
- Date posted
- 03/19/2002
- Academic Unit
- Accounting
- Record Identifier
- 9984380706502771
Metrics
6 Record Views