Prior studies attribute analysts' forecast superiority over time-series forecasting models to their access to a large set of firm, industry, and macroeconomic information (an information advantage), which they use to update their forecasts on a daily, weekly or monthly basis (a timing...

This paper theoretically and empirically investigates how the risk of future adverse price changes created by the anticipated arrival of information influences risk-averse investors' trading decisions in institutionally imperfect capital markets. Specifically, I examine how the selling activity...