We provide direct evidence that analysts engage in information discovery, and that investors value this discovery. The innovation in our article is to read through the summaries of over 3,500 analyst reports to identify whether analysts engage in discovery and/or interpretation. Analysts discover new information from management sources (example: personal meetings) and non-management sources (example: channel checks). Information discovery is prevalent in 17% of the reports. Investors react more strongly to analyst reports containing changes in price targets or Earnings per Share if those reports are accompanied by information discovery. Economic determinants predict whether a report contains discovery.
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