This study investigates the consequences of firm-specific stock price crash events (SPCs) on analyst forecast accuracy in China from 2001 to 2020. Using a difference-in-differences design, the researchers find that after a company's stock price crash, analyst forecast error decreased and accuracy increased. This effect is more pronounced for analysts who hadn't conducted site visits or lacked geographical advantages, supporting the analyst attention theory. The study also reveals that SPCs improve forecast accuracy more for low-reputation analysts than high-reputation analysts, mediated by increased analyst effort.

Yunqi Fan, Yanwei Zhang