Firm-specific and aggregate shocks generate reassessment of investors and analysts expectations on earnings forecasts and on the fundamental value of equities. In this article, we evaluate the effects of this combined reaction on the implied equity risk premium extracted from a standard two-stage dividend discount (DD) model. If investors and analysts revisions coincide, and in absence of measurement errors in the DD formula, the observed shocks should not have any significant impact on prices and Implied Equity Risk Premium (IEPR). On the contrary, in an analysis based on data for all S&P 500 COMPOSITE INDEX constituents from 1990 to 2003, we observe substantial overreaction of investors to both downward and upward firm-specific forecast revisions, plus overreaction to changes in GDP and to the announcements of the Consumer and Business Confidence indicator. We also observe that positive overreaction to upward earning forecast revisions and GDP changes falls after the stock bubble burst, while overreaction to upward forecast revision and to announcements of the Consumer Confidence Index looses significance after the 9/11 terrorist attack. These findings are broadly consistent with the hypothesis of reduced participation of uninformed (noise) traders to financial markets after these two shocks.