A post-earnings announcement drift associated with the market reaction to analyst forecasts errors remains a puzzle. This study suggests that whispers help to explain part of the puzzle. The study examines the market reaction to whispers and analysts in bull and bear markets, and finds that investors listen to whispers in the bull market and whispers help explain the post-announcement drift. In a bear market, reaction to whispers is significantly positive prior to announcement despite a down market, indicating optimism by investors who follow whispers. However, in the bear market, both whispers and analysts contribute to the post-announcement drift.
Janis K. Zaima and M. A. Harjoto. "Do Bulls and Bears Listen to Whispers?" Financial Decisions (2007): 1-15.