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Predictability of Analysts’ Forecast Revision under COVID-19: Evidence from Emerging Markets

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  • Zhaomin Ren
  • Shi Li

Abstract

Using stock market data from six emerging economies (that is, China, Brazil, India, Malaysia, the Philippines, and Russia), we find that analysts’ forecast revision, a significant anomaly in emerging markets during the past two decades, is disappeared during the COVID-19 pandemic. We formulate factor sorted portfolio and Fama–MacBeth regression to explain the disappearance. We find that the return predictability of analysts’ forecast revision is negatively correlated with the pandemic’s severity, whereas analysts have not provided sufficient information to investors under this severe pandemic. We supplement the theory of time-varying risk premium as well as sophisticated investors with fresh evidence.

Suggested Citation

  • Zhaomin Ren & Shi Li, 2021. "Predictability of Analysts’ Forecast Revision under COVID-19: Evidence from Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(6), pages 1689-1698, May.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:6:p:1689-1698
    DOI: 10.1080/1540496X.2020.1865149
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