Information Content of Analyst Forecast Revisions

This study investigates information content of analyst forecasts by examining the relationship between analyst forecast revisions and abnormal stock returns around the announcement dates of analyst forecast revision. Empirical results show that both monthly consensus revisions and individual forecast revisions are positively related to abnormal stock returns. In addition, abnormal stock returns are concentrated around the months of consensus revisions or around dates of individual analyst forecast revisions, implying that stock return reflect new information from forecast revisions immediately. This evidence suggests that analyst forecast contains information content.