Analyst responsiveness and the post-earnings-announcement drift

• 成果类型: Article
• 署名作者: Zhang, Yuan
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2008.04.004
• 发表日期: 2008
• 关键词: CONFERENCE CALLS; price response; Forecast; MARKET; underreaction; returns; IMPACT

摘要

This Study examines the responsiveness of analyst forecasts to current earnings announcements. The results show considerable cross-sectional variation in analyst responsiveness and suggest that this variation is related to the costs and benefits associated with prompt forecast revisions. More importantly, this study finds that with responsive forecast revisions, more of the market reaction takes place in the event window and less in the drift window, suggesting that analyst responsiveness mitigates the post-earnings-announcement drift and facilitates market efficiency. (C) 2008 Elsevier B.V. All rights reserved.