This dissertation explores the informational role of sell-side analysts' change in forecasting horizon. I find that portfolios formed by buying stocks with large increase in analyst horizon and shorting stocks with large decrease in analyst horizon generate superior future return. Horizon change has information incremental to analyst earnings forecast and recommendation revisions, as well as firm fundamentals. Large increase in horizon mainly drives the result. I find that analysts who contribute to strong horizon increase are associated with higher forecast accuracy. This increase is likely associated with the career concerns of inexperienced analysts. The return predictability associated with analyst forecast horizon change exists in the information environment of high liquidity and low volatility, at the times when analyst forecasts are the most accurate. Moreover, analyst forecast horizon is partially related to analysts' profitability prediction and firm risk assessment, although the horizon change, the component predictable by firm fundamentals notwithstanding, is still able to predict return in the short-run. Overall, the findings reported in this dissertation support the view that sell-side analysts are important rational-information providers in the financial industry.
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