That investors receive information from earnings

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that investors receive information from earnings announcements that is unrelated to analysts’ forecast errors and revisions. 20 The full set of descriptive statistics for our zero-surprise sample is available from the authors upon request. 16 L. Rees, W. Thomas 123
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Table 3 Sample descriptive statistics and average quarterly correlations Panel A: Descriptive statistics Variables a N Mean Std Q1 Median Q3 Return 62,706 0.004 0.083 - 0.032 0.003 0.040 D Dispersion (x100) 62,706 - 0.007 0.162 - 0.027 0.000 0.015 Dispersion (x100) 62,706 0.144 0.323 0.030 0.065 0.148 FE (x100) 62,706 0.032 0.357 - 0.017 0.035 0.127 ST Revision (x100) 62,706 - 0.059 0.240 - 0.068 - 0.001 0.019 LT Revision 62,706 - 0.130 1.623 - 0.250 0.000 0.050 Beat 62,706 0.586 0.493 0.000 1.000 1.000 PastBeat 62,706 3.247 3.063 0.000 2.000 6.000 Loss 62,706 0.108 0.311 0.000 0.000 0.000 PastLoss 62,706 0.436 1.606 0.000 0.000 0.000 Decr 62,706 0.331 0.471 0.000 0.000 1.000 PastDecr 62,706 0.788 1.362 0.000 0.000 1.000 Market Value 62,706 21.234 1.596 20.112 21.101 22.239 Book-to-Market 62,706 0.580 30.179 0.244 0.393 0.588 Expected Growth 62,706 0.185 0.110 0.117 0.156 0.223 PreReturn 62,706 - 0.004 0.092 - 0.038 - 0.005 0.027 Panel B: Correlations b 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 1. Return - 0.05 0.04 0.27 0.26 0.06 0.24 0.02 - 0.06 - 0.02 - 0.09 - 0.01 0.00 - 0.02 0.02 - 0.04 2. D Dispersion - 0.06 - 0.07 - 0.05 - 0.03 - 0.01 - 0.04 0.01 - 0.01 - 0.03 - 0.01 - 0.03 0.01 - 0.03 0.00 - 0.01 3. Dispersion - 0.02 - 0.09 - 0.02 - 0.19 - 0.03 - 0.11 - 0.28 0.30 0.27 0.33 0.26 - 0.25 0.42 - 0.13 - 0.02 4. FE 0.20 - 0.08 - 0.25 0.38 0.04 0.85 0.14 - 0.13 0.02 - 0.28 - 0.04 0.00 - 0.01 0.01 0.10 5. ST Revision 0.24 - 0.09 - 0.26 0.37 0.07 0.35 0.17 - 0.14 - 0.06 - 0.29 - 0.13 0.12 - 0.16 0.02 0.12 The stock price effects of changes in dispersion of investor beliefs 17 123
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Table 3 continued Panel B: Correlations b 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 6. LT Revision 0.05 - 0.01 - 0.04 0.07 0.10 0.05 0.01 - 0.03 - 0.02 - 0.05 0.00 0.04 - 0.02 - 0.16 0.04 7. Beat 0.22 - 0.04 - 0.14 0.54 0.27 0.07 0.18 - 0.13 - 0.02 - 0.27 - 0.08 0.08 - 0.08 0.02 0.09 8. PastBeat 0.01 0.00 - 0.18 0.11 0.13 0.02 0.16 - 0.19 - 0.21 - 0.31 - 0.39 0.14 - 0.24 0.13 0.02 9. Loss - 0.05 - 0.01 0.37 - 0.24 - 0.22 - 0.02 - 0.13 - 0.18 0.61 0.27 0.24 - 0.21 0.09 0.16 - 0.05 10. PastLoss - 0.02 - 0.03 0.23 - 0.03 - 0.08 - 0.01 - 0.02 - 0.15 0.57 0.18 0.29 - 0.19 0.06 0.15 - 0.02 11. Decr - 0.08 0.00 0.25 - 0.27 - 0.27 - 0.06 - 0.27 - 0.29 0.27 0.11 0.49 - 0.18 0.24 - 0.04 - 0.07 12. PastDecr 0.00 - 0.01 0.17 - 0.06 - 0.12 - 0.01 - 0.06 - 0.33 0.24 0.22 0.43 - 0.16 0.20 - 0.04 - 0.02 13. Market Value 0.00 0.00 - 0.21 0.06 0.17 0.03 0.07 0.14 - 0.21 - 0.15 - 0.18 - 0.16 - 0.27 - 0.33 0.02 14. Book-to-Market - 0.01 - 0.02 0.32 - 0.06 - 0.19 - 0.03 - 0.08 - 0.21 0.13 0.03 0.24 0.19 - 0.27 - 0.36 - 0.02 15. Expected Growth 0.00 0.00 - 0.01 0.00 0.00 - 0.11 0.03 0.09 0.20 0.26 - 0.02 0.02 - 0.28 - 0.27 0.01 16. PreReturn - 0.03 - 0.01 - 0.03 0.09 0.10 0.04 0.09 0.01 - 0.05 - 0.02 - 0.07 - 0.01 0.02 - 0.02 0.01 a See Table 1 for variable definitions b Average Spearman correlations are presented in the upper diagonal of the correlation matrix and average Pearson correlations are presented in the lower diagonal. Amounts in bold indicate those correlations significant at the 0.05 level 18 L. Rees, W. Thomas 123
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The next variable in Table 3 is the change in dispersion in analysts’ beliefs about next quarter’s earnings around the current quarter’s earnings announcement. On average, the dispersion in analysts’ forecasts decreases around the current quarter’s earnings announcement, although the median amount is zero. We also report dispersion in analysts’ beliefs with respect to current quarter’s earnings. The next three variables control for information related to current unexpected earnings and future cash flows. The mean and median forecast errors are positive, consistent with recent research suggesting firms’ desire to meet or beat forecasts (Brown 2001 ; Bartov et al. 2002 ). Forecast revisions are negative, on average, consistent with optimism in long horizon analysts’ forecasts with regular downward revisions over time (Richardson et al. 2004 ; Rees 2005 ).
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