Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.schres.2005.09.006
Title: Stock price synchronicity and analyst coverage in emerging markets
Authors: Chan, K.
Hameed, A. 
Keywords: Analyst coverage
Information efficiency
International financial markets
Price synchronicity
Issue Date: 2006
Source: Chan, K., Hameed, A. (2006). Stock price synchronicity and analyst coverage in emerging markets. Journal of Financial Economics 80 (1) : 115-147. ScholarBank@NUS Repository. https://doi.org/10.1016/j.schres.2005.09.006
Abstract: This paper examines the relation between the stock price synchronicity and analyst activity in emerging markets. Contrary to the conventional wisdom that security analysts specialize in the production of firm-specific information, we find that securities which are covered by more analysts incorporate greater (lesser) market-wide (firm-specific) information. Using the R2 statistics of the market model as a measure of synchronicity of stock price movement, we find that greater analyst coverage increases stock price synchronicity. Furthermore, after controlling for the influence of firm size on the lead-lag relation, we find that the returns of high analyst-following portfolio lead returns of low analyst-following portfolio more than vice versa. We also find that the aggregate change in the earnings forecasts in a high analyst-following portfolio affects the aggregate returns of the portfolio itself as well as those of the low analyst-following portfolio, whereas the aggregate change in the earnings forecasts of the low analyst-following portfolio have no predictive ability. Finally, when the forecast dispersion is high, the effect of analyst coverage on stock price synchronicity is reduced. © 2005 Elsevier B.V. All rights reserved.
Source Title: Journal of Financial Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/44483
ISSN: 0304405X
DOI: 10.1016/j.schres.2005.09.006
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

169
checked on Dec 14, 2017

WEB OF SCIENCETM
Citations

1
checked on Nov 18, 2017

Page view(s)

81
checked on Dec 10, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.