What can analyst forecasts tell us about imperfect information?

We used two imperfect information models, taking analyst as representatives of informed investors, quantifying the potential information constraints of the financial market and different companies, and found that China's financial market has more serious information friction than the United States, which means that people update the information set every seven to eight months on average or people's weight on new information is only 0.37. At the same time, we also found evidence consistent with cognitive constraints or rational inattention theory, that the more volatile a company's and industry performance, the slower analysts are to respond to that company's information.