The Effect of Analyst Forecasts during Earnings Announcements on Investor Responses to Reported Earnings

• 成果类型: Article
• 署名作者: Lobo, Gerald J.; Song, Minsup; Stanford, Mary Harris
• 署名单位: University of Houston System; University of Houston; Sogang University; Texas Christian University
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-51556
• 发表日期: 2017
• 页码: 239-263
• 关键词: STOCK-PRICE BEHAVIOR; information-content; ACCOUNTING EARNINGS; recommendation revisions; UNEXPECTED EARNINGS; trading volume; returns; guidance; capitalization; underreaction

摘要

Despite the increased frequency of analyst forecasts during earnings announcements, empirical evidence on the interaction between the information in the earnings announcement and these forecasts is limited. We examine the implications of reinforcing and contradicting analyst forecast revisions issued during earnings announcements (days 0 and +1) on the market response to unexpected earnings. We classify forecast revisions as reinforcing (contradicting) when the sign of analyst forecast revisions agrees (disagrees) with the sign of unexpected earnings. We document larger (smaller) earnings response coefficients for announcements accompanied by reinforcing (contradicting) analyst forecast revisions. Analyses of management forecasts suggest that analyst revisions and management forecasts convey complementary information. Cross-sectional tests show that investors react more to earnings announcements accompanied by analyst forecast revisions when there is greater consensus among analysts (lower dispersion) and that better earnings quality (higher persistence) mitigates the negative impact of contradictory analyst forecast revisions.