Analysts’ Forecast Revision and Capital Market Information Efficiency
WU Hanzhang1, LIU Weiqi1,2
1. School of Finance, Shanxi University of Finance and Economics, Taiyuan 030006, China; 2. Institute of Management and Decision, Shanxi University, Taiyuan 030006, China
Abstract Based on the phenomenon of “same rise and fall” of stock prices, this paper uses the data of China’s A-share listed companies from 2002 to 2018 to study the relationship between analysts’ forecast activities and capital market information efficiency from the perspective of analyst behavior dynamics. The study finds that analysts’ positive forecast revisions will significantly reduce the synchronicity of the company’s stock prices. And this effect is more obvious among star analysts, non-underwriter analysts and female analysts. After further studying the transmission path of analysts’ forecast revisions affecting stock price synchronization, it is found that analysts’ positive forecast revisions can decrease stock price synchronization by reducing their earnings forecast bias and forecast dispersion.The above results show that analysts’ earnings forecast revisions behavior belongs to “self-renewal”, which can improve the information efficiency of capital market.
2022, Vol. 39 
