Information gain in alternative data: Evidence from e-commerce sales and analyst earnings forecasts

Based on the e-commerce sales data of A-share listed firms in China, we explore how e-commerce sales information affects analyst earnings forecasts. We find that firms' e-commerce sales information is related to firms' value, increases firms' information transparency, broadens analysts' information channels, and thus improves analyst forecast behavior. Further analysis shows that e-commerce sales information's positive effect is more significant in firms with high growth ability, low financial information transparency, and without management earnings forecasting. We also find that the positive effect is more salient in the bull market. The findings provide new insights for improving the analyst earnings forecast and offer evidence for the positive significance of e-commerce sales of alternative data for the capital market in the information era.