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|Title:||Stock price synchronicity and analyst coverage in emerging markets||Authors:||Chan, K.
International financial markets
|Issue Date:||2006||Citation:||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|
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