How to quantify the informational content of analyst reports? In this short methodological paper, we propose a measure of information contribution (IC), defined in the spirit of Shapley values. We use natural language processing to identify topics for over 90,000 analyst reports for S&P 500...

Investor attention drives analyst coverage. We find that, between 2012-2017, institutional investor attention explains 21.39% of the cross-sectional variation in analyst coverage, second only to market capitalization (22.09%). We build a model where limited investor attention drives information...