Abstract

We document that in response to the COVID-19 pandemic, analysts increase their research activity and significantly revise their forecasts compared to the pre-pandemic period. Uncertainty-adjusted forecast errors are either comparable or smaller during the pandemic compared to the pre-pandemic period. Investor attention and price reactions to analyst forecast revisions are higher during the pandemic and the effect is stronger in periods where investors actively search for information about firms. During the pandemic, investors value analyst price discovery role more than their role in interpreting public information. Jointly, the results suggest that analysts played an important information intermediation role during the COVID-19 pandemic.

Publication Type:	Article
Additional Information:	This is the peer reviewed version of the following article: Bilinski, P. (2023). Analyst research activity during tail-risk events: the case of the COVID-19 pandemic. Abacus, which is to be published in final form at https://onlinelibrary.wiley.com/journal/14676281. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
Publisher Keywords:	COVID-19; Coronavirus; analysts; forecast accuracy; price reactions; information discovery; information intermediation
Subjects:	H Social Sciences > HG Finance Q Science > QR Microbiology > QR180 Immunology R Medicine > RA Public aspects of medicine > RA0421 Public health. Hygiene. Preventive Medicine
Departments:	Bayes Business School > Finance

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