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dc.titleStock price synchronicity and analyst coverage in emerging markets
dc.contributor.authorChan, K.
dc.contributor.authorHameed, A.
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.
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.subjectAnalyst coverage
dc.subjectInformation efficiency
dc.subjectInternational financial markets
dc.subjectPrice synchronicity
dc.contributor.departmentFINANCE & ACCOUNTING
dc.description.sourcetitleJournal of Financial Economics
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