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Analyst forecast data feeds are not what they used to be



Publishing details

Social Sciences Research Network

Authors / Editors

Hand J R M;Laurion H;Lawrence A;Martin N

Publication Year



Since 1990, the number of one-quarter-ahead financial items forecasted by equity analysts that are disseminated via I/B/E/S and FactSet data feeds has soared from 1 to 170 . We find that the rich sets of income statement, cash flow statement, balance sheet, ratio/other, and KPI forecast surprises this has created are associated with increases in the information content of earnings announcements. The full set of consensus analyst forecast surprises in the union of I/B/E/S and FactSet data feeds boosts the adjusted R2s of panel regressions that explain quarterly earnings announcement stock returns, helps explain why mean abnormal squared returns and abnormal trading volume have doubled since 2001, and directly validates the view that firm fundamentals have become more important in determining variation in returns. Our study illuminates the role that financial data providers play in disseminating the value-relevant information in analysts’ forecasts.


Analyst forecasts; Data feeds; FactSet; I/B/E/S; Information content

Series Number



Social Sciences Research Network

Available on ECCH


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