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Air pollution, analyst information provision, and stock price synchronicity

Author

Listed:
  • Dehong Liu

    (Beijing Jiaotong University)

  • Tiantian Lin

    (Beijing Jiaotong University
    Huaqiao University)

  • Carl R. Chen

    (University of Dayton)

  • Wenjun Feng

    (Beijing Jiaotong University)

Abstract

This study investigates the impact of air pollution on analyst information production using corporate earnings announcements as experimental events. By analyzing a dataset of 47,406 firm-quarter-analyst observations from 2014 to 2020, we find that air pollution between firms’ earnings announcements and analyst forecasts decreases the firm-specific information in analyst reports, as reflected by higher stock price synchronicity after analyst reports. We identify three manifestations of the detrimental effect of air pollution on analyst information supply: shorter reports, reduced forecast accuracy, and less precision for EPS forecasts. The effect is heterogeneously observed across groups, showing a mitigated impact when analyst teams are larger, workloads are lower, analysts operate in non-heating areas or non-heating seasons, or firms exhibit higher levels of information transparency.

Suggested Citation

  • Dehong Liu & Tiantian Lin & Carl R. Chen & Wenjun Feng, 2025. "Air pollution, analyst information provision, and stock price synchronicity," Review of Quantitative Finance and Accounting, Springer, vol. 64(3), pages 1029-1077, April.
    • Handle: RePEc:kap:rqfnac:v:64:y:2025:i:3:d:10.1007_s11156-024-01326-9
    DOI: 10.1007/s11156-024-01326-9
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    More about this item

    Keywords

    Air pollution; Analyst; Stock price synchronicity; Firm-specific information;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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