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Analysts' forecasting models and uncertainty about the past.

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Titel: Analysts' forecasting models and uncertainty about the past.
Autoren: Park, Min1 (AUTHOR) min.park@ku.edu, Zach, Tzachi2 (AUTHOR) zach.7@osu.edu
Quelle: Review of Accounting Studies. Sep2025, Vol. 30 Issue 3, p2376-2418. 43p.
Schlagwörter: *FORECASTING, *CAPITAL market, *DISCLOSURE, *EARNINGS announcements, *UNCERTAINTY (Information theory), *FINANCIAL market reaction, *SECURITIES analysts, INFORMATION needs
Abstract: We study the dynamics of information demand and supply in capital markets, focusing on how firms' disclosures align with analysts' information needs. Using a novel dataset from Visible Alpha, we analyze granular data from analysts' forecasting models to understand the breadth of information they seek and how firms meet these demands through mandatory and voluntary disclosures. We document significant variation in the complexity of analysts' models and the extent of firms' disclosures, leading to some items in analysts' models remaining undisclosed. This unmet information demand gives rise to a novel concept we term "uncertainty about the past" (UP). We investigate its implications for key capital market outcomes, including analyst forecast dispersion, market reactions to earnings announcements, and stock market liquidity. Our results demonstrate that UP plays a significant role in shaping the information environment, challenging the assumption that earnings announcements fully resolve uncertainty about past performance. [ABSTRACT FROM AUTHOR]
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Datenbank: Business Source Index
Beschreibung
Abstract:We study the dynamics of information demand and supply in capital markets, focusing on how firms' disclosures align with analysts' information needs. Using a novel dataset from Visible Alpha, we analyze granular data from analysts' forecasting models to understand the breadth of information they seek and how firms meet these demands through mandatory and voluntary disclosures. We document significant variation in the complexity of analysts' models and the extent of firms' disclosures, leading to some items in analysts' models remaining undisclosed. This unmet information demand gives rise to a novel concept we term "uncertainty about the past" (UP). We investigate its implications for key capital market outcomes, including analyst forecast dispersion, market reactions to earnings announcements, and stock market liquidity. Our results demonstrate that UP plays a significant role in shaping the information environment, challenging the assumption that earnings announcements fully resolve uncertainty about past performance. [ABSTRACT FROM AUTHOR]
ISSN:13806653
DOI:10.1007/s11142-025-09898-0