Analyst responsiveness and the post-earnings-announcement drift

被引：117

作者：

Zhang, Yuan ^{[1
]}

机构：

[1] Columbia Univ, Columbia Business Sch, New York, NY 10027 USA

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 2008年 / 46卷 / 01期

关键词：

analyst responsiveness; post-earnings-announcement drift; market efficiency;

D O I：

10.1016/j.jacceco.2008.04.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：201 / 215

页数：15

共 30 条

[1] TESTS OF ANALYSTS OVERREACTION UNDERREACTION TO EARNINGS INFORMATION AS AN EXPLANATION FOR ANOMALOUS STOCK-PRICE BEHAVIOR [J].

ABARBANELL, JS ;

BERNARD, VL .

JOURNAL OF FINANCE, 1992, 47 (03) :1181-1207

[2] Analyst estimation revision clusters and corporate events, Part I [J].

Bagnoli M. ;

Levine S. ;

Watts S.G. .

Annals of Finance, 2005, 1 (3) :245-265

[3] EMPIRICAL EVALUATION OF ACCOUNTING INCOME NUMBERS [J].

BALL, R ;

BROWN, P .

JOURNAL OF ACCOUNTING RESEARCH, 1968, 6 (02) :159-178

[4] A model of investor sentiment [J].

Barberis, N ;

Shleifer, A ;

Vishny, R .

JOURNAL OF FINANCIAL ECONOMICS, 1998, 49 (03) :307-343

[5] Investor sophistication and patterns in stock returns after earnings announcements [J].

Bartov, E ;

Radhakrishnan, S ;

Krinsky, I .

ACCOUNTING REVIEW, 2000, 75 (01) :43-63

[6] POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM [J].

BERNARD, VL ;

THOMAS, JK .

JOURNAL OF ACCOUNTING RESEARCH, 1989, 27 :1-36

[7] EVIDENCE THAT STOCK-PRICES DO NOT FULLY REFLECT THE IMPLICATIONS OF CURRENT EARNINGS FOR FUTURE EARNINGS [J].

BERNARD, VL ;

THOMAS, JK .

JOURNAL OF ACCOUNTING & ECONOMICS, 1990, 13 (04) :305-340

[8] Do conference calls affect analysts' forecasts? [J].

Bowen, RM ;

Davis, AK ;

Matsumoto, DA .

ACCOUNTING REVIEW, 2002, 77 (02) :285-316

[9] FORECAST SELECTION WHEN ALL FORECASTS ARE NOT EQUALLY RECENT [J].

BROWN, LD .

INTERNATIONAL JOURNAL OF FORECASTING, 1991, 7 (03) :349-356

[10] Pharmacotherapeutic education through problem based learning and its impact on cognitive and motivational attitude of Indian students [J].

Chandra, D ;

Sharma, S ;

Sethi, G ;

Dkhar, S .

EUROPEAN JOURNAL OF CLINICAL PHARMACOLOGY, 1996, 51 (01) :1-5

← 1 2 3 →