TWO ESSAYS ON ANALYSTS’ FORECASTS AND THEIR IMPLICATIONS FOR ASSET PRICING

Abstract

Essay One: When Analysts Repeat, Do Investors Listen?The majority of earnings forecasts issued by sell-side equity analysts conclude with a reiteration of the analyst’s existing earnings forecast for a firm. Yet, previous literature focuses on earnings forecast changes while ignoring earnings forecast reiterations. The first issue is that researchers assume that earnings forecast reiterations do not have information content and do not matter. Database limitation is the second primary issue for this kind of research. Using a large sample of earnings forecast reiteration data for S&P 100 firms during the 2006-2016 time period from Bloomberg, I investigate whether earnings forecast reiterations are informative. I find that reiterations are associated with smaller earnings forecast errors. I also find that reiterations are associated with positive stock market reactions. When more analysts give reiterations, there is no post-earnings-announcement-drift (PEAD). My results show that analyst earnings forecast reiterations are informative and investors listen and pay attention when analysts reiterate earnings forecasts. Essay Two: Analyst Self-disclosure v.s. Non-self-disclosure: An Introduction to Bloomberg Analyst Earnings Forecast DataIn this study, I compare the performance between self-disclosure analysts and non-self-disclosure analysts using Bloomberg analyst earnings forecast data from 2006 to 2016. I find that, even though non-self-disclosure analysts outperform self-disclosure analysts in earnings forecast accuracy, investors do not realize this performance difference, causing more non-self-disclosure analysts to publicize themselves. This finding is consistent with the Bloomberg analyst display structural change on 06/04/2018.