In a competitive information market, a single information source can only dominate other sources individually, not collectively. We explore whether earnings announcements constitute such a dominant source using Ball and Shivakumar's (2008) [How much new information is there in earnings?, <italic>Journal...</italic>

Prior research concludes that financial analysts do not process public information efficiently in generating their earnings forecasts. The OLS regression-based tests used in prior studies assume implicitly that analysts face a quadratic loss function, or that analysts minimize their squared...

Prior research concludes that financial analysts do not process public information efficiently in generating their earnings forecasts. The OLS regression-based tests used in prior studies assume implicitly that analysts face a quadratic loss function. In contrast, we argue that analysts likely...