Analyst Earnings Forecast Revision And Market Reaction

China’s A-share market has experienced more than 30 years of development,the legal system and trading system have been gradually improved,the market activity has gradually increased,and the market pricing efficiency is still a problem of widespread concern in academia and industry.The seller’s analyst group in the securities market can collect and interpret the information of listed companies in a timely manner,and transmit information to the market in the form of issuing securities research reports.It is an important information medium in the market.In the securities research report,the correction of profit forecast is the main information that market investors pay attention to,which can guide investors to make investment decisions,and then affect the pricing efficiency of the market.Therefore,the importance of analysts’ earnings forecast correction information cannot be ignored,and the information content in the forecast correction is the main factor that determines the impact of forecast changes on the market.This paper takes the analyst profit forecast revision as the starting point to explore the impact of the analyst profit forecast revision range and the information content of the revision on the stock pricing efficiency in different time windows.By combing the existing literature and combining the efficient market hypothesis,information asymmetry theory and herd effect theory analysis,this paper puts forward three hypotheses: the correction range of analysts’ earnings forecast is significantly positively correlated with the stock price,and there is a certain lag;The correction of the forecast with rich information has more significant impact on the stock price than the correction of the earnings forecast without information;Compared with the positive(negative)correction with rich information content,the negative(negative)correction with rich information content has a more significant impact on the cumulative excess return of stock prices.This paper takes the revised data of analysts’ earnings forecast of listed companies in China’s A-share market from 2017 to 2021 as a sample,uses the event research method,fixed effect model and quantile regression model to verify whether the above assumptions are true,and more clearly observes the impact of analysts’ earnings forecast on each quantile of cumulative excess return.The study found that during the event window period:(1)there is a significant positive correlation between the correction range of analysts’ earnings forecast and the stock price,that is,analysts’ upward(downward)earnings forecast will bring positive(negative)excess returns,which is more significant at the 50-90 th percentile of the cumulative excess returns,and there is a lag in the reaction of investors in the market.Over time,The influence of the correction range on the stock price gradually increases;(2)Compared with the forecast correction without information content,the forecast correction with rich information content can have a more significant impact on the stock price.The impact will increase with the increase of the cumulative excess rate of return.The market can price the forecast correction with rich information and the forecast correction without information differently;(3)The reaction degree and absorption efficiency of the market to the upward correction with rich information are far greater than the downward correction with rich information.The information content of the analyst’s earnings forecast correction can promote the market’s absorption of the forecast correction range information.In view of the above conclusions,this paper puts forward corresponding policy recommendations from the perspective of market investors,securities analysts and industry regulators.