Influence Of The Timeliness Of Analysts' Earnings Forecasts On The Post-Earnings Announcement Drift

The post-earnings announcement drift has been recognized as one of the capital market anomalies. Immediately after earnings announcements posted, the capital market can't fully absorb the surplus information, stock prices continue to drift, this is one of the important evidence for the insufficient validity of the capital market. Usually people don't think market understanding of surplus informati on timely is one of the important reasons for this phenomenon. As information intermediary of capital markets, securities analysts interpret market information and publish the earnings forecast, which help the market investors fully understand the enterpri se's profit, thus make valuations effectively. Therefore, whether Securities analyst can release the earnings forecast in a timely manner may become the important factors influencing the post-earnings- announcement drift. Now market pricing efficiency is not high in our country, the post-earnings announcement drift still exists; But on the other hand, our country's securities analyst industry is developing rapidly, and the quality, quantity and the timeliness of earnings forecast announcement are always rising. Therefore, this paper attempts to test whether the timeliness of analyst s' earnings forecast can improve the pricing efficiency of stock market in our country and reduce the degree of the post-earnings announcement drift.This paper is based on the efficiency of analysts' transferring information, and analyzes the influence made by the timeliness of securities analysts' earnings forecast on the market pricing efficiency and the post-earnings announcement drift. Then use event study method and set up multiple linear regression model to sub-window test the relationship between the timeliness of analysts' earnings forecast and the cumulative abnormal return rate after the post-earnings announcement drift. This study finds out that the timeliness of analyst forecasts can facilitate the capital market efficiency and mitigates the post-earnings announcement drift. Specifically, during the event-window period, the timeliness promotes the surplus information communication, improves surplus earnings response coefficient and strengthens the market reaction to earnings information; during the drift-window period, the timeliness constantly mitigates the extent of the post-earnings announcement drift from the eighth day, and as time goes on, the inhibition would be stronger.In this paper, this research not only enriches the study of analysts' characteristics of analysts' earnings forecasts, but also enriches the study of the influence mechanism of the post-earnings announcement drift, which is helpful for investors and relevant authorities to survey the characteristics of analysts' forecasts more scientifically and provide a reference to making investment strategy and improving market mechanisms.