In this paper, we examine relationships between analysts` earning forecasts and trading behaviour of various investor types.
Main findings:
1) Foreign investors` trading flows predict analysts` earning forecasts. We use weekly data. Domestic individuals trading behaviour is opposite, while domestic institutions fall in the between.
2)Analysts` revision of earning forecasts is subject to the semi-strong form of market efficiency. Their forecast revision do not explain future price movements, though past prices affect analysts` revision.
The findings appear consistent with the existing studies that report asymmetric reaction to cash flow informations among investor groups. Naive investors underreact, while sophisticated ......
We explore other possibilities that may render the positive correlation between past foreign trading flows and analysts` earning forecasts spurious.
