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Author: Yuan Zhang Publisher: ISBN: Category : Languages : en Pages : 44
Book Description
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.
Author: Yuan Zhang Publisher: ISBN: Category : Languages : en Pages : 44
Book Description
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.
Author: Tunde Kovacs Publisher: ISBN: Category : Languages : en Pages : 49
Book Description
This study examines the role of intra-industry information transfers in the analyst forecast-based post-earnings announcement drift. I find that subsequent same-industry-peer earnings announcements influence a firm's post-earnings announcement drift if these subsequent announcements confirm the firm's initial earnings surprise and the firm's industry exhibits ex-ante positive (common effect) intra-industry information transfers. The results suggest that underreaction to industry-specific information contributes to analyst forecast-based post-earnings announcement drift.
Author: Tomas Tomcany Publisher: LAP Lambert Academic Publishing ISBN: 9783843367813 Category : Languages : en Pages : 92
Book Description
It is a well documented finding in finance theory that share prices drift in the direction of firms' unexpected earnings changes, a phenomenom known as post-earnings announcement drift, or earnings momentum. In this book, I study the stock prices' reaction to firms' quarterly earnings announcements. The book shows that the timeframe in which the drift occurs is related to the size of a firm and is limited in time after the earnings announcement. I further analyze the effect of the number of analysts covering a firm on the magnitude and persistance of post-earnings announcement drift. I document that recent analyst coverage predicts large drifts after the earnings announcements. I suggest several possible explanations, but the evidence seems most consistent with recent analyst coverage providing information about investor (or analyst) expectations regarding firm's future earnings. This book should be useful to professionals in Financial Economics, especially to those interested in Behavioral Finance in stock markets, but also to equity analysts, traders or investors interested in the stocks' response to earnings news.
Author: Rajiv D. Banker Publisher: ISBN: Category : Languages : en Pages : 57
Book Description
We investigate how the arrival of Estimize, a provider of crowdsourced earnings forecasts, impacts IBES analysts' forecast timeliness and facilitates market efficiency. We find that IBES analysts become more responsive to earnings announcements and start issuing their quarterly forecasts earlier when faced with competition from Estimize. The Estimize effect is strongest when Estimize quarterly forecasts pose a direct competitive threat to IBES -- when Estimize forecasts are present within 3 days of earnings announcements (i.e., are issued early). Specifically, IBES analysts become more responsive to earnings announcements post Estimize, and issue more than 9% of their one-quarter-ahead forecasts earlier in the quarter when early Estimize coverage is present in the prior quarter. We also document that this increased responsiveness of IBES analysts facilitates market efficiency as it results in greater immediate market reaction to earnings surprises and mostly eliminates the post-earnings-announcement drift.
Author: Simon Fung Publisher: ISBN: Category : Languages : en Pages : 46
Book Description
This study examines the effect of analysts' activities after earnings announcements on the magnitude of the post-earnings-announcement drift. Using the level of private information precision in analysts' earnings forecasts after earnings announcement derived from Barron, Kim, Lim and Stevens (1998) as a measure of analysts' post-announcement activities, we find that the magnitude of the drift is significantly smaller for firms with higher level of analysts' activities after earnings announcements. Results also show that this negative association is more pronounced for firms with higher geographic diversification, firms not audited by industry leaders, and firms with higher institutional holdings, consistent with our hypothesis that the analysts' post-announcement activities are more effective in reducing the drift where the demand for analysts' activities is higher. This contributes to our understanding of the role of financial analysts in helping the market impound earnings news into stock prices.
Author: Kanyuan Huang Publisher: ISBN: Category : Languages : en Pages : 60
Book Description
This paper examines the information contained in analyst forecast revisions following earnings announcements. I find that sorting firms on aggregated forecast revisions generates a much stronger post-earnings-announcement drift than sorting on measures of earnings surprises. The strong association between aggregated forecast revisions and post-earnings-announcement returns is driven by the subsample of firms with large-magnitude earnings surprises. This result is consistent with analysts' roles in interpreting corporate earnings. Further, the mispricing is the strongest when forecast revisions contradict earnings surprises, suggesting investors have difficulties in processing contradictory signals. Lastly, I document aggregated forecast revisions are more informative when the information environment around earnings announcements is more opaque, when firms have high accruals and when investors do not pay attention to the firm. They are less informative when analysts disagree with each other. Overall, these results point to the value of analyst forecast revisions following earnings announcements.
Author: Benjamin C. Ayers Publisher: ISBN: Category : Languages : en Pages : 46
Book Description
We examine whether the two distinct post-earnings-announcement drifts associated with seasonal random walk-based and analyst-based earnings surprises are attributable to the trading activities of distinct sets of investors. We predict and find that small (large) traders continue to trade in the direction of seasonal random walk-based (analyst-based) earnings surprises after earnings announcements. We also find that when small (large) traders react more thoroughly to seasonal random walk- (analyst-) based earnings surprises at the earnings announcements, the respective drift attenuates. Further evidence suggests that delayed small trades associated with random walk-based surprises are consistent with small traders' failure to understand time-series properties of earnings, whereas delayed large trades associated with analyst-based surprises are more consistent with a longer price discovery process. We also find that the analyst-based drift has declined in recent years.
Author: Michael D. Kimbrough Publisher: ISBN: Category : Languages : en Pages :
Book Description
I extend prior research on the information content of conference calls by examining whether they accelerate analysts' and investors' responses to the future implications of currently announced earnings. I find that the initiation of conference calls is associated with a significant reduction in the serial correlation in analyst forecast errors, a measure of initial analyst underreaction. I also find that the initiation of conference calls is associated with significant reductions in two measures of initial investor underreaction: (1) post-earnings announcement drift and (2) the proportion of the total market reaction to firms' earnings announcements that is quot;delayedquot; (i.e. that is attributable to post-earnings announcement drift). The reduction in post-earnings announcement drift surrounding conference call initiation is concentrated in the set of sample firms where drift is most severe (i.e. the smallest, least heavily traded sample firms) while the largest, most heavily traded sample firms do not exhibit significant drift either before or after conference call initiation. Robustness tests, including analyses of matched samples of non-conference call firms, indicate that the results are not driven by general increases in analyst and investor sophistication over time or by contemporaneous increases in the information and trading environments of conference call initiators.
Author: Yuan Zhang
Author: Yuan Zhang
Author: Tunde Kovacs
Author: Jing Liu
Author: Tomas Tomcany
Author: Rajiv D. Banker
Author: Simon Fung
Author: Kanyuan Huang
Author: Shuoyuan He
Author: Benjamin C. Ayers
Author: Michael D. Kimbrough