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| Author: | Gleason, C. A. Lee, C. M. C. |
| Title: | Analyst Forecast Revisions and Market Price Discovery |
| Journal: | Accounting Review
2003 : JAN, VOL. 78:1, p. 193-226 |
| Index terms: | ANALYTICAL REVIEW FORECASTING MARKET EFFICIENCY EARNINGS |
| Language: | eng |
| Abstract: | The authors document several factors that help to 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 than for more obscure yet highly accurate analysts. 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. |
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