Star Aanalyst coverage, market over-reaction and stock price synchronicity
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| Title | Star Aanalyst coverage, market over-reaction and stock price synchronicity
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| Author | Zhou mingshan, Xu nianhang, Lin jin, Zhang qiaoyun |
| Organization | Southwestern University of Economics and Finance；, Renmin University of China |
| Email | zhoumingshan@swufe.edu.cn，zhang888@swufe.edu.cn ；nhxu@ruc.edu.cn；clarence.lin@yahoo.com |
| Key Words | Star Aanalyst; Market Ooverreaction; Stock Pprice Ssynchronicity |
| Abstract | This paper uses the data on analyst ranking from New Fortune and Today’s Investor to analyze the impact of star analysts on stock price synchronicity and its mechanism. We find, firstly, without differentiating star and non-star analyst, analyst coverage, as a whole, raises stock price synchronicity measured by R-square, which indicates that analysts do not help to impart firm-specific information into the market. For companies covered by star analysts, analysts (including star analysts) lower stock price synchronicity, which indicates that there is a substitution effect between star analyst coverage and non-star analyst coverage. Secondly, the more star analyst coverage, the stronger short-term momentum and long-term reversal its stock price shows, and the bigger abnormal trading volume in the short, medium and long run. Thirdly, companies which have a higher degree of information asymmetry show even stronger market overreaction to star analyst coverage. Fourthly, for companies which have more analyst coverage and lower R-square, market over-reaction to star analysts’ coverage is even stronger, which indicates the mechanism star analysts lower stock price synchronicity is related to market over-reaction. These findings are useful for understanding the roles analysts played in emerging market and the mechanism through which stock price synchronicity is linked to analysts’ coverage. |
| Serial Number | WP320 |
| Time | 2012-08-29 |
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