Whisper forecasts of quarterly earnings per share

We compare First Call analyst forecasts of earnings to unofficial forecasts commonly referred to as whispers. Our analysis indicates that whispers are more accurate proxies for market expectations of earnings than are First C all forecasts, consistent with the claim in the professional press that whi spers are increasingly becoming the true market expectation of earnings. Fu rther, trading strategies based on the relation between whisper and First C all forecasts earn abnormal returns. This suggests that whispers contain in formation not contained in First Call forecasts and that at least part of t his information is impounded in price prior to the earnings release. (C) 19 99 Elsevier Science B.V. All rights reserved.