Since 2001, the number of one-quarter-ahead financial items forecasted by analysts and disseminated via FactSet and I/B/E/S data feeds has risen from 5 to 170+. We show that the income statement, cash flow statement, balance sheet, ratio/other, and KPI forecast surprises related to this dissemination are strongly associated with increases in the information content of earnings announcements. The full set of forecast surprises in the combined FactSet + I/B/E/S data feed boosts the adjusted R2s of regressions that explain quarterly earnings announcement stock returns, can account for the doubling in mean abnormal squared stock returns and abnormal trading volume documented by Beaver et al. (2017a, b), and permits direct validation of Shao et al.’s (2017) view that firm fundamentals have become more, not less, important in determining variation in stock returns over time. Our study speaks to the economic role that financial data providers play in disseminating analyst forecasts, and the effects such dissemination has on the informativeness of financial statement line items.
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