Toggle Main Menu Toggle Search

Open Access padlockePrints

The price impact of analyst revisions and the state of the economy: Evidence around the world

Lookup NU author(s): Dr Chen SuORCiD



This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).


This paper examines the price impact of analyst revisions in distinct economic states around the world. We find stronger average two-day cumulative abnormal returns in bad times, though this pattern is mainly observed in developed countries. In addition, trading strategies following analyst revisions, with holding periods from one to six months, are generally more profitable in good times with lower macroeconomic uncertainty, after controlling for market and common risk factors. The profitability, however, disappears or declines substantially after accounting for time-varying risk premia conditioned on lagged macroeconomic information, indicating a reduced information production role played by analysts in recent decades.

Publication metadata

Author(s): Su C

Publication type: Article

Publication status: Published

Journal: The Financial Review (Statesboro)

Year: 2023

Volume: 58

Issue: 4

Pages: 887-930

Print publication date: 01/11/2023

Online publication date: 04/07/2023

Acceptance date: 16/06/2023

Date deposited: 05/07/2023

ISSN (print): 0732-8516

ISSN (electronic): 1540-6288

Publisher: Wiley-Blackwell Publishing, Inc.


DOI: 10.1111/fire.12357


Altmetrics provided by Altmetric


Funder referenceFunder name
Newcastle University Business School Research Fund (SRF)