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The Interpretation of unanticipated news arrival and analysts’ skill
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Rubin, Amir, Segal, Benjamin and Segal, Dan (2017) The Interpretation of unanticipated news arrival and analysts’ skill. Journal of Financial and Quantitative Analysis, 52 (4). pp. 1491-1518. doi:10.1017/S0022109017000539 ISSN 0022-1090.
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Official URL: http://dx.doi.org/10.1017/S0022109017000539
Abstract
Analysts’ functions are divided into discovery and interpretation roles, but distinguishing between the two is nontrivial. We conjecture that analysts’ interpretation skill can be gauged by their forecast revisions following material unanticipated news, in particular, following nonearnings 8-K reports, which arrive at the market unexpectedly. We establish that unanticipated 8-Ks are informative for analysts and find that analysts who are more likely to revise their forecasts following unanticipated 8-Ks provide more timely and accurate forecasts. We document a positive association between analysts’ tendency to react to unanticipated 8-Ks and market reaction to their recommendation changes, suggesting investors prefer these analysts’ opinions.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School > Accounting Faculty of Social Sciences > Warwick Business School |
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Journal or Publication Title: | Journal of Financial and Quantitative Analysis | ||||
Publisher: | Cambridge University Press | ||||
ISSN: | 0022-1090 | ||||
Official Date: | 15 August 2017 | ||||
Dates: |
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Volume: | 52 | ||||
Number: | 4 | ||||
Page Range: | pp. 1491-1518 | ||||
DOI: | 10.1017/S0022109017000539 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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