Analyst Forecast Data Feeds Are Not What They Used to Be

52 Pages Posted: 14 Feb 2018 Last revised: 15 Aug 2018

See all articles by John R. M. Hand

John R. M. Hand

University of North Carolina Kenan-Flagler Business School

Henry Laurion

University of Colorado at Boulder - Department of Accounting

Alastair Lawrence

London Business School / University of California, Berkeley

Nicholas Martin

University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School

Date Written: August 14, 2018

Abstract

Since 1990, the number of one-quarter-ahead financial items forecasted by equity analysts that are disseminated via I/B/E/S and FactSet data feeds has soared from 1 to 170 . We find that the rich sets of income statement, cash flow statement, balance sheet, ratio/other, and KPI forecast surprises this has created are associated with increases in the information content of earnings announcements. The full set of consensus analyst forecast surprises in the union of I/B/E/S and FactSet data feeds boosts the adjusted R2s of panel regressions that explain quarterly earnings announcement stock returns, helps explain why mean abnormal squared returns and abnormal trading volume have doubled since 2001, and directly validates the view that firm fundamentals have become more important in determining variation in returns. Our study illuminates the role that financial data providers play in disseminating the value-relevant information in analysts’ forecasts.

Keywords: Analyst forecasts, data feeds, FactSet, I/B/E/S, information content

JEL Classification: G12, M41

Suggested Citation

Hand, John R. M. and Laurion, Henry and Lawrence, Alastair and Martin, Nicholas, Analyst Forecast Data Feeds Are Not What They Used to Be (August 14, 2018). Available at SSRN: https://ssrn.com/abstract=3117122 or http://dx.doi.org/10.2139/ssrn.3117122

John R. M. Hand (Contact Author)

University of North Carolina Kenan-Flagler Business School ( email )

McColl Building
Chapel Hill, NC 27599-3490
United States
919-962-3173 (Phone)
919-962-4727 (Fax)

Henry Laurion

University of Colorado at Boulder - Department of Accounting ( email )

419 UCB
Boulder, CO 80309-0419
United States

Alastair Lawrence

London Business School / University of California, Berkeley ( email )

Regent's Park
London
United Kingdom

HOME PAGE: http://Www.alastairlawrence.net

Nicholas Martin

University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School ( email )

McColl Building
Chapel Hill, NC 27599-3490
United States

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