The traditional view of equity analysts is that they are a source of new information about future cash flows. We broaden this view by demonstrating that equity analysts are also a substantive source of new information about priced risk. In particular, we document that, when announced, changes in analyst risk ratings distinctly and significantly affect equity returns, and are generally followed by significant changes in Fama–French factor loadings. Also, while less frequent than credit rating changes, equity risk rating changes are timelier, and with a larger overall stock price impact than credit rating changes.
LUI, D., MARKOV, S. and TAMAYO, A. (2012). Equity Analysts and the Market's Assessment of Risk. Journal of Accounting Research, 50(5), pp. 1287-1317.