Does Big Data Improve Financial Forecasting? The Horizon Effect

62 Pages Posted: 17 Nov 2020 Last revised: 21 Dec 2020

See all articles by Olivier Dessaint

Olivier Dessaint


Thierry Foucault

HEC Paris - Finance Department

Laurent Frésard

Universita della Svizzera italiana (USI Lugano); Swiss Finance Institute

Date Written: December 1, 2020


We study how data abundance affects the informativeness of financial analysts' forecasts at various horizons. Analysts forecast short-term and long-term earnings and choose how much information to process about each horizon to minimize forecasting error, net of information processing costs. When the cost of obtaining short-term information drops (i.e., more data becomes available), analysts change their information processing strategy in a way that renders their short-term forecasts more informative but that possibly reduces the informativeness of their long-term forecasts. We provide empirical support for this prediction using a large sample of forecasts at various horizons and novel measures of analysts' exposure to abundant data. Data abundance can thus impair the quality of long-term financial forecasts.ty of long-term forecasts.

Keywords: Big data, Financial analysts' forecasts, Forecasting horizon, Forecasts' informativeness, Social media

JEL Classification: D84, G14, G17, M41

Suggested Citation

Dessaint, Olivier and Foucault, Thierry and Frésard, Laurent, Does Big Data Improve Financial Forecasting? The Horizon Effect (December 1, 2020). HEC Paris Research Paper No. FIN-2020-1402, Swiss Finance Institute Research Paper No. 20-106, Available at SSRN: or

Olivier Dessaint


Boulevard de Constance
77305 Fontainebleau Cedex

Thierry Foucault

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
(33)139679569 (Phone)
(33)139677085 (Fax)


Laurent Frésard (Contact Author)

Universita della Svizzera italiana (USI Lugano) ( email )

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
PlumX Metrics