Analyst underreaction and the post‐forecast revision drift
The post‐forecast revision drift (PFRD), the phenomenon of delayed stock price reactions to analyst forecast revisions, is a well‐documented market anomaly. Prior research attributes PFRD to underreaction by investors to analyst forecast revisions. This study investigates the role of the analyst for...
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| Published in | Journal of business finance & accounting Vol. 47; no. 9-10; pp. 1151 - 1181 |
|---|---|
| Main Authors | , , , |
| Format | Journal Article |
| Language | English |
| Published |
Oxford
Wiley Subscription Services, Inc
01.10.2020
Blackwell Publishing Ltd |
| Subjects | |
| Online Access | Get full text |
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| Abstract | The post‐forecast revision drift (PFRD), the phenomenon of delayed stock price reactions to analyst forecast revisions, is a well‐documented market anomaly. Prior research attributes PFRD to underreaction by investors to analyst forecast revisions. This study investigates the role of the analyst forecast revision process itself in the PFRD anomaly. Using a large sample of US firms, we confirm prior findings of a positive serial correlation (momentum) in individual analysts’ revisions to their earnings forecasts and, based on both indirect and direct tests, document a positive association between this momentum and PFRD. Further analyses reveal that both the forecast revision momentum and PFRD vary in similar ways with respect to the nature of the news driving the revisions and the information environment. Collectively, our findings show that underreaction by individual analysts in the forecast revision process is an important contributor to the PFRD phenomenon. |
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| AbstractList | The post‐forecast revision drift (PFRD), the phenomenon of delayed stock price reactions to analyst forecast revisions, is a well‐documented market anomaly. Prior research attributes PFRD to underreaction by investors to analyst forecast revisions. This study investigates the role of the analyst forecast revision process itself in the PFRD anomaly. Using a large sample of US firms, we confirm prior findings of a positive serial correlation (momentum) in individual analysts’ revisions to their earnings forecasts and, based on both indirect and direct tests, document a positive association between this momentum and PFRD. Further analyses reveal that both the forecast revision momentum and PFRD vary in similar ways with respect to the nature of the news driving the revisions and the information environment. Collectively, our findings show that underreaction by individual analysts in the forecast revision process is an important contributor to the PFRD phenomenon. |
| Audience | Trade Academic |
| Author | Zhou, Hui Chen, Po‐Chang Sougiannis, Theodore Narayanamoorthy, Ganapathi S. |
| Author_xml | – sequence: 1 givenname: Po‐Chang orcidid: 0000-0001-6628-8228 surname: Chen fullname: Chen, Po‐Chang email: chenpo@miamioh.edu organization: Miami University – sequence: 2 givenname: Ganapathi S. surname: Narayanamoorthy fullname: Narayanamoorthy, Ganapathi S. organization: Tulane University – sequence: 3 givenname: Theodore surname: Sougiannis fullname: Sougiannis, Theodore organization: University of Illinois at Urbana‐Champaign – sequence: 4 givenname: Hui surname: Zhou fullname: Zhou, Hui organization: The University of Auckland Business School |
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| Copyright | 2020 John Wiley & Sons Ltd COPYRIGHT 2020 Blackwell Publishers Ltd. |
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| Notes | We thank Peter F. Pope (the editor), the anonymous reviewer, Rashad Abdel‐khalik, Anwer Ahmed, Salman Arif, Mark Bagnoli, Karthik Balakrishnan, Paul Beck, Jasmijn Bol, Louis K.C. Chan, Jim Frederickson, Christi Gleason, Tim Haight, Lynn Hannan, Paul Hribar, Nicole Jenkins, Bruce Johnson, Deen Kemsley, Stephanie Laroque, Sean McGuire, Phil Shane, Nate Sharp, Pervin Shroff, Paul Spindt, Dan Stone, Ed Swanson, Sheri Tice, Senyo Tse, Hong Xie, Beverly Walther, Matthew Wieland, Dave Ziebart and seminar participants at the 2013 AAA Annual Meeting, 2013 FARS Mid‐Year Meeting, 2016 Annual MFS Conference, Athens University of Economics and Business, Cyprus University of Technology, University of Florida, University of Iowa, University of Kentucky, Texas A&M University and Tulane University for helpful comments. Theodore Sougiannis gratefully acknowledges financial support from the KPMG Professorship. ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 14 |
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| Snippet | The post‐forecast revision drift (PFRD), the phenomenon of delayed stock price reactions to analyst forecast revisions, is a well‐documented market anomaly.... |
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| SubjectTerms | Analyst forecast revisions analyst underreaction Analysts Delayed Earnings Earnings forecasting Forecasting News PFRD post‐forecast revision drift revision momentum Revisions Stock prices |
| Title | Analyst underreaction and the post‐forecast revision drift |
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