Security Price Response to Quarterly Earnings Announcements and Analysts' Forecast Revisions.
研究季度盈利公告中，分析师预测修正（包括下季度和来年预测）对股价的影响，发现预测修正能显著解释异常回报，且第四季度公告比中期公告提供更多信息。
Abstract ABSTRACT: The degree to which earnings changes are thought to be permanent may determine the magnitude of the security price response to a given earnings announcement [Brown et al., 1985; Kormendi and Lipe, 1987; and Easton and Zmijewski, 1987]. This study extends this literature by examining the impact on stock prices of quarter ahead and year ahead forecast revisions, as well as forecast errors. Results indicate that analysts' forecast revisions provide significant incremental explanatory power in a pooled time-series, cross-sectional regression of abnormal returns on forecast errors and analyst forecast revisions, in addition, the fourth quarter announcement appears to provide more information to analysts and investors than interim announcements.