Stock Price Synchronicity and Analyst Coverage in Emerging Markets

Topics:
Investment and Capital Markets
Tags:
Analyst,
Emerging Market,
Finance,
Financial Accounting,
Investment,
Stock,
Stock Price
Source:
Hong Kong University of Science and Technology

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Overview: This paper examines the relationship between the stock price synchronicity and analyst activity in the emerging markets. Contrary to the conventional wisdom that security analysts specialize in the production of firm-specific information, it finds that the security analysts produce market-wide information predominantly. The paper also finds that aggregate changes in earnings forecast of high analyst-following portfolio affect aggregate returns of the portfolio itself and also the low analyst-following portfolio while the aggregate changes in earnings forecast of low analyst-following portfolio has no predictive ability. Finally, when the forecast dispersion is high, the effect of analyst coverage on stock price synchronicity is reduced.

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Format: PDF | Size: 820KB | Date: Nov 2002 | Pages: 40

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