City Research Online

Abstract

How does the analyst forecasting activity and the usefulness of analyst research change in response to a market-wide tail-risk event? Using the COVID-19 pandemic to capture a tail-risk event, we document that analysts increase their research activity and significantly revise their forecasts during the pandemic compared to the pre-pandemic period. Uncertainty-adjusted forecast accuracy decreases in the first quarter of 2020 but improves in the reminder of 2020. Investor attention and price reactions to forecast revisions are higher during the pandemic and the effect is stronger in periods where investors actively search for information about the pandemic and the stock market as captured by google searches. During the pandemic, investors value analyst price discovery role more than their role in interpreting public information.

Publication Type:	Monograph (Working Paper)
Additional Information:	This article appears in SSRN Journal: http://dx.doi.org/10.2139/ssrn.3807974
Publisher Keywords:	COVID-19; Coronavirus; forecast accuracy; price reactions; information discovery; information intermediation
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Finance
SWORD Depositor:	Symplectic Administrator

Export

Downloads