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Financial Analysts' Earnings Forecast Dispersion and Intraday Stock Price Variability around Quarterly Earnings Announcements

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  • Lobo, Gerald J
  • Tung, Samuel S

Abstract

This study investigates the relationship between the dispersion of analysts' earnings forecasts and stock price variability around quarterly earnings announcements. Consistent with theoretical predictions, the empirical analysis shows that stock price variability at the time of earnings announcements is positively related to the degree of analysts' predisclosure earnings forecast dispersion. Additionally, firms with high levels of forecast dispersion exhibit significant increases in price variability for longer periods prior to and following earnings announcements than do firms with low levels of forecast dispersion. These results suggest that there is information about the earnings announcement that becomes available to at least a subset of investors prior to the earnings release and that market participants take different amounts of time to process the information conveyed by the earnings announcement. Copyright 2000 by Kluwer Academic Publishers

Suggested Citation

  • Lobo, Gerald J & Tung, Samuel S, 2000. "Financial Analysts' Earnings Forecast Dispersion and Intraday Stock Price Variability around Quarterly Earnings Announcements," Review of Quantitative Finance and Accounting, Springer, vol. 15(2), pages 137-151, September.
    • Handle: RePEc:kap:rqfnac:v:15:y:2000:i:2:p:137-51
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    Cited by:

    1. Janvrin, Diane & Mascha, Maureen Francis, 2014. "The financial close process: Implications for future research," International Journal of Accounting Information Systems, Elsevier, vol. 15(4), pages 381-399.
    2. Sati P. Bandyopadhyay & Alan Guoming Huang & Kevin Jialin Sun & Tony S. Wirjanto, 2017. "The return premiums to accruals quality," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 83-115, January.
    3. Jie Hao & Viet T. Pham, 2022. "COVID‐19 Disclosures and Market Uncertainty: Evidence from 10‐Q Filings," Australian Accounting Review, CPA Australia, vol. 32(2), pages 238-266, June.
    4. Sobolev, Daphne, 2017. "The effect of price volatility on judgmental forecasts: The correlated response model," International Journal of Forecasting, Elsevier, vol. 33(3), pages 605-617.

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