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Analyst responsiveness and the post-earnings-announcement drift

  • Zhang, Yuan
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    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.

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    File URL: http://www.sciencedirect.com/science/article/B6V87-4SG4HH1-1/2/43dd662b2bc6df547c7e84f31bf590fa
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    Article provided by Elsevier in its journal Journal of Accounting and Economics.

    Volume (Year): 46 (2008)
    Issue (Month): 1 (September)
    Pages: 201-215

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    Handle: RePEc:eee:jaecon:v:46:y:2008:i:1:p:201-215
    Contact details of provider: Web page: http://www.elsevier.com/locate/jae

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    7. Brown, Lawrence D., 1991. "Forecast selection when all forecasts are not equally recent," International Journal of Forecasting, Elsevier, vol. 7(3), pages 349-356, November.
    8. Mark Bagnoli & Stanley Levine & Susan G. Watts, 2005. "Analyst estimation revision clusters and corporate events, Part I," Annals of Finance, Springer, vol. 1(3), pages 245-265, 08.
    9. Ivkovic, Zoran & Jegadeesh, Narasimhan, 2004. "The timing and value of forecast and recommendation revisions," Journal of Financial Economics, Elsevier, vol. 73(3), pages 433-463, September.
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