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COVID-19 pandemic, limited attention, and analyst forecast dispersion

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  • Zhang, Jinjin
  • Wu, Jinyu
  • Luo, Yalin
  • Huang, Ziyan
  • He, Ruzhen

Abstract

This paper investigates the effect of the COVID-19 pandemic on analysts’ forecast dispersion. We find that analysts’ exposure to the COVID-19 lockdown reduces the dispersion of their forecasts. Along with the forecast dispersion, the number of earnings forecasts issued by treated analysts decreases, supporting the channel of attention distraction. Moreover, there is no significant difference between optimistic and pessimistic forecasts, against the explanation of risk attitude change. We find our conclusion is robust to a staggered DID model and numerous robustness tests. Our finding contributes to the dispute regarding the pandemic's effect on analyst forecast behavior.

Suggested Citation

  • Zhang, Jinjin & Wu, Jinyu & Luo, Yalin & Huang, Ziyan & He, Ruzhen, 2022. "COVID-19 pandemic, limited attention, and analyst forecast dispersion," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322005013
    DOI: 10.1016/j.frl.2022.103322
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    References listed on IDEAS

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    Cited by:

    1. Li, Pan & Chen, Kecai & Zhu, Xiaoneng, 2024. "Extreme Sentiment and Jumps in Analyst Forecast Dispersion," Finance Research Letters, Elsevier, vol. 62(PA).
    2. Zhan, Baoqiang & Wu, Chong, 2024. "Star power: A quasi-natural experiment on how analyst status affects recommendation performance," Finance Research Letters, Elsevier, vol. 59(C).
    3. D’Augusta, Carlo & Grossetti, Francesco, 2023. "How did Covid-19 affect investors’ interpretation of earnings news? The role of accounting conservatism," Finance Research Letters, Elsevier, vol. 52(C).
    4. Kong, Xiaowei & Jin, Yifan & Liu, Lihua & Xu, Jialu, 2023. "Firms' exposures on COVID-19 and stock price crash risk: Evidence from China," Finance Research Letters, Elsevier, vol. 52(C).
    5. Sun, Xiaowei & Zheng, Tianyu & Wang, Zehao & Li, Peigong, 2024. "Risk factors disclosure and corporate philanthropy," International Review of Financial Analysis, Elsevier, vol. 93(C).

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