Unsystematic Security Price Movements, Management Earnings Forecasts, and Revisions in Consensus Analyst Earnings Forecasts
研究分析师盈利预测修正公告前后的异常股票回报，以及管理层盈利预测发布前的非系统性价格变动，发现两者均向投资者传递信息。
Empirical evidence suggests that information about a firm's future earnings prospects is important to investors. Griffin [1976], Givoly and Lakonishok [1979; 1980], and Imhoff and Lobo [1984] reported statistically significant abnormal stock returns before, at, and after announcements of analyst earnings forecast revisions. In addition, Imhoff and Lobo documented positive correlation between the magnitudes of the forecast revisions and the abnormal returns. These findings are consistent with the hypothesis that investors find analyst forecast revisions informative. Another source of information about future earnings is projections from corporate officials. Several studies have found unsystematic stock price changes prior to and/or immediately surrounding the public release of management earnings forecasts (e.g., Foster [1973], Nichols and Tsay [1979], Patell [1976], Jaggi [1978], Penman [1980], and Waymire [1984]). The conclusion from this research is that management forecasts also convey information to investors.