Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.schres.2005.09.006
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dc.titleStock price synchronicity and analyst coverage in emerging markets
dc.contributor.authorChan, K.
dc.contributor.authorHameed, A.
dc.date.accessioned2013-10-09T08:21:51Z
dc.date.available2013-10-09T08:21:51Z
dc.date.issued2006
dc.identifier.citationChan, 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
dc.identifier.issn0304405X
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/44483
dc.description.abstractThis 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.schres.2005.09.006
dc.sourceScopus
dc.subjectAnalyst coverage
dc.subjectInformation efficiency
dc.subjectInternational financial markets
dc.subjectPrice synchronicity
dc.typeArticle
dc.contributor.departmentFINANCE & ACCOUNTING
dc.description.doi10.1016/j.schres.2005.09.006
dc.description.sourcetitleJournal of Financial Economics
dc.description.volume80
dc.description.issue1
dc.description.page115-147
dc.description.codenJFECD
dc.identifier.isiut000234774700012
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