Analyst Days, Stock Prices, and Firm Performance

41 Pages Posted: 18 Nov 2018

See all articles by Di (Andrew) Wu

Di (Andrew) Wu

University of Michigan, Stephen M. Ross School of Business

Amir Yaron

University of Pennsylvania -- Wharton School of Business; Bank of Israel; National Bureau of Economic Research (NBER)

Date Written: October 2, 2018


We construct a comprehensive dataset of 3,890 analyst days, which are firm-hosted gatherings where information is disclosed to equity analysts and institutional investors. We demonstrate that firms holding these events have significantly higher abnormal returns after these events, despite the Regulation Fair Disclosure requirement that such information be simultaneously disclosed to the public. A buy-and-hold strategy that holds these stocks for 20 days earns a market-adjusted return of 1.6%, and a similar calendar-time portfolio has a one-month, four-factor alpha of 1.8%. We find no evidence of mean reversion or change in risk exposure after analyst days, and abnormal returns remain significantly positive for up to six months. We classify analyst days into four major types---product announcement, review of results, discussion of strategy, and technology and markets---according to the textual content of their announcements, and we show that product- and market-related analyst days earn significantly higher returns than events reviewing past financial results. Finally, firms holding analyst days have significantly higher revenue growth, earnings per share, and dividend yields up to two years after these events. Analyst coverage, earning estimates, and price targets also increase, and these estimates have lower dispersion. Our results thus suggest that firms use analyst days to convey positive incremental information that has not been incorporated in their stock prices, and market participants significantly underreact to this information.

Keywords: analyst days, market underreaction

JEL Classification: G40

Suggested Citation

Wu, Di and Yaron, Amir and Yaron, Amir, Analyst Days, Stock Prices, and Firm Performance (October 2, 2018). Available at SSRN: or

Di Wu (Contact Author)

University of Michigan, Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States

Amir Yaron

University of Pennsylvania -- Wharton School of Business ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-898-1241 (Phone)
215-898-6200 (Fax)

Bank of Israel

P.O. Box 780
Jerusalem, 91907

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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