Variable definitions
| Dependent Variable | |
|---|---|
| FE | Absolute Value of the difference between the actual earnings and the forecasted earnings, scaled by the stock price. This variable is multiplied by 100 |
| Control Variables | |
| LEV | (dlttq + dlcq) Scaled by the lagged value of total assets |
| BTM | Common equity scaled by the market value of equity |
| FCF | (oibdpq - (rectq + invtq + acoq - lcoq -apq) - capxy)/atq |
| INVESTMENT | (capxy + aqcy + xrdq-sppey) scaled by lagged assets (Compustat items) |
| DURATION | Number of years since analyst first followed the firm |
| ANALYST_ISSUING | Number of analysts issuing a forecast for the firm by forecast period end date |
| SIZE | Natural log of total assets |
| BAD NEWS | Dummy Variable that takes a value of 1(0) when Surprise is negative (positive) |
| KZINDEX | Refer Kaplan & Zingales (1997) |
| IND_EXPERIENCE | Number of years an analyst has been following the same industry |
| Cross-Sectional Variables | |
| HIGH INTENSITY | Dummy variable equal to 1(0) for firms located in States of lockdown duration in the top (other) quartile |
| PANDEMIC | Dummy variable equal to 1(0) for forecasts issued after (before) 11th March 2020 (i.e., after the declaration of COVID-19 as a pandemic by the WHO) |
| HIGH CONCENTRATION | Dummy variable equal to 1(0) for firms with institutional investor concentration in the top (other) quartile |
| FEWER COVERAGE | Dummy variable equal to 1 for firms with analyst-following in the lowest quartile; 0 otherwise |
| Other Variables | |
| HRE | Dummy variable equal to 1(0) for analysts in the top (bottom) quartile of firms exposed to epidemic risks |
| COVID | Dummy variable equal to 1(0) if the forecast period end date is after (before) 1st January 2020 |
| FE | Absolute Value of the difference between the actual earnings and the forecasted earnings, scaled by the stock price. This variable is multiplied by 100 |
| LEV | ( |
| BTM | Common equity scaled by the market value of equity |
| FCF | ( |
| INVESTMENT | ( |
| DURATION | Number of years since analyst first followed the firm |
| ANALYST_ISSUING | Number of analysts issuing a forecast for the firm by forecast period end date |
| SIZE | Natural log of total assets |
| BAD NEWS | Dummy Variable that takes a value of 1(0) when Surprise is negative (positive) |
| KZINDEX | Refer |
| IND_EXPERIENCE | Number of years an analyst has been following the same industry |
| HIGH INTENSITY | Dummy variable equal to 1(0) for firms located in States of lockdown duration in the top (other) quartile |
| PANDEMIC | Dummy variable equal to 1(0) for forecasts issued after (before) 11th March 2020 (i.e., after the declaration of COVID-19 as a pandemic by the WHO) |
| HIGH CONCENTRATION | Dummy variable equal to 1(0) for firms with institutional investor concentration in the top (other) quartile |
| FEWER COVERAGE | Dummy variable equal to 1 for firms with analyst-following in the lowest quartile; 0 otherwise |
| HRE | Dummy variable equal to 1(0) for analysts in the top (bottom) quartile of firms exposed to epidemic risks |
| COVID | Dummy variable equal to 1(0) if the forecast period end date is after (before) 1st January 2020 |
Source(s): Appendix by authors
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