Do Equity Analysts Provide Information about Dirty Surplus Income for Financial Firms

We investigate the information content of analysts’ book value per share (BVPS) forecasts. We test whether analysts’ BVPS forecasts are informative about future realizations of other comprehensive income (OCI) and special items controlling for analysts’ EPS forecasts. Our results suggest that analysts’ BVPS forecasts generally incorporate upcoming realizations of OCI and special items, especially for financial firms. We also find evidence that BVPS forecasts provide expectations of non-EPS income, and that the market responds to BVPS innovations, especially BVPS forecasts misses. Finally, we find evidence that analysts provide more BVPS forecasts for financial firms that 1) have greater absolute levels of accumulated other comprehensive income (AOCI) from securities and derivatives, 2) report higher levels of OCI from securities, and 3) hold more opaque financial assets, and for non-financial firms with high absolute levels of pension-related AOCI.