Air pollution, analyst information provision, and stock price synchronicity

This study investigates the impact of air pollution on analyst information production using corporate earnings announcements as experimental events. By analyzing a dataset of 47,406 firm-quarter-analyst observations from 2014 to 2020, we find that air pollution between firms’ earnings announcements and analyst forecasts decreases the firm-specific information in analyst reports, as reflected by higher stock price synchronicity after analyst reports. We identify three manifestations of the detrimental effect of air pollution on analyst information supply: shorter reports, reduced forecast accuracy, and less precision for EPS forecasts. The effect is heterogeneously observed across groups, showing a mitigated impact when analyst teams are larger, workloads are lower, analysts operate in non-heating areas or non-heating seasons, or firms exhibit higher levels of information transparency.