Analyst Estimation Revision Clusters and Corporate Events, Part Ii

Abstract

In Part I of this study, we evaluated the relative usefulness of information in alternative corporate information events (CIEs) to analysts by examining the frequency with which they trigger clusters of analysts' earnings estimate revisions. In Part II, we examine investor response to various CIEs and their revision clusters. We find that stock prices react most strongly and adjust most quickly to revision clusters that accompany CIEs that focus on financial statement information. CIEs that offer strategic information take longer for analysts and investors to assimilate, and investors appear to rely heavily on later analyst revisions following such events.

Keywords: Strategic information, market efficiency, analyst forecasts, analyst, forecast, earnings forecast, earnings announcements, valuation, home bias, visibility

JEL Classification: G12, G14, G29, M41