The Frequency of Financial Analysts' Forecast Revisions: Theory and Evidence about Determinants of Demand for Predisclosure Information
构建了一个动态模型，分析金融分析师预测修正频率的最优策略，并用实证数据检验模型预测，发现修正频率与盈利波动性、交易量等正相关，与交易量偏度负相关。
Abstract: A fundamental property of a financial market is its degree of price informativeness. A major determinant of price informativeness is predisclosure information collected by financial analysts and then privately disseminated to clients, who make the recommended trades. We develop a dynamic model of the analyst's optimal strategy of forecast revision frequency with endogenous analysts and endogenous traders. We then empirically test the model's predictions. We find that forecast revision frequency is positively associated with earnings variability, trading volume, and earnings response coefficients, and negatively associated with skewness of trading volume. Thus, we find strong empirical support for our dynamic model.