Air pollution, analyst information provision, and stock price synchronicity

Dehong Liu, Tiantian Lin, Carl R. Chen and Wenjun Feng ()
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Dehong Liu: Beijing Jiaotong University
Tiantian Lin: Beijing Jiaotong University
Carl R. Chen: University of Dayton
Wenjun Feng: Beijing Jiaotong University

Review of Quantitative Finance and Accounting, 2025, vol. 64, issue 3, No 2, 1029-1077

Abstract: Abstract This study investigates the impact of air pollution on analyst information production using corporate earnings announcements as experimental events. By analyzing a dataset of 47,406 firm-quarter-analyst observations from 2014 to 2020, we find that air pollution between firms’ earnings announcements and analyst forecasts decreases the firm-specific information in analyst reports, as reflected by higher stock price synchronicity after analyst reports. We identify three manifestations of the detrimental effect of air pollution on analyst information supply: shorter reports, reduced forecast accuracy, and less precision for EPS forecasts. The effect is heterogeneously observed across groups, showing a mitigated impact when analyst teams are larger, workloads are lower, analysts operate in non-heating areas or non-heating seasons, or firms exhibit higher levels of information transparency.

Keywords: Air pollution; Analyst; Stock price synchronicity; Firm-specific information (search for similar items in EconPapers)
JEL-codes: G14 M41 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11156-024-01326-9

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