Earnings Forecast Revisions and Information Dissemination
25 Pages Posted: 23 Jul 2003
Date Written: June 2003
Abstract
This paper provides empirical evidence on the gradual information dissemination in the stock market. Brokerage analysts' earnings forecast revisions are used as information source. There are early informed, (later) informed and uninformed investors, depending on their relationship with the analyst. The trading activity of these groups is investigated in the Helsinki Stock Exchange, which identifies upstairs and downstairs markets as well as order and size of every trade, thus enabling the classification of investors. Evidence is presented supporting the hypothesis of the existence of these groups and their trading behaviour.
Keywords: Upstairs, downstairs, earnings forecast, informed traders
JEL Classification: G14
Suggested Citation: Suggested Citation
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