 Financial analysts' forecast accuracy, informativeness and its implications for market efficiency: evidence from an emerging marketArit Chaudhury, Seshadev Sahoo and Varun Dawar International Journal of Managerial and Financial Accounting, 2024, vol. 16, issue 2, 159-179 Abstract: In this work, we study the connection between analyst forecast accuracy and the well-known systematic risk factors of momentum and size, which are important from the market efficiency point of view. Using an extensive 21 years (1998-2018) analyst forecast data for Indian companies extracted from the 'Refinitiv Eikon' database for BSE-500 stocks, we evaluate if consensus forecast errors are predictable with respect to size and momentum. Our results indicate the presence of cognitive bias in analysts' forecasts due to market and stock momentum. We also find that analysts forecast more aggressively for smaller sized companies, particularly in a poorer information environment. To explore the impact of these biased forecasts on market efficiency, we also check for their informativeness. We find that the biased analyst forecasts are informative, thus contributing to market inefficiency, however their informativeness is somewhat reduced, depending on the magnitude of the momentum and size factors. Keywords: analyst forecasts; forecast accuracy; market informativeness; size; momentum. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:injmfa:v:16:y:2024:i:2:p:159-179 Access Statistics for this article More articles in International Journal of Managerial and Financial Accounting from Inderscience Enterprises Ltd |
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