Security analysts and capital market anomalies

• 成果类型: Article
• 署名作者: Guo, Li; Li, Frank Weikai; Wei, K. C. John
• 署名单位: Fudan University; Fudan University; Shanghai Institute of International Finance & Economics; Singapore Management University; Hong Kong Polytechnic University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.01.002
• 发表日期: 2020
• 页码: 204-230
• 关键词: Analysts; Analyst recommendations; anomalies; Mispricing; market efficiency

摘要

We examine the value and efficiency of analyst recommendations through the lens of capital market anomalies. We find that analysts do not fully use the information in anomaly signals when making recommendations. Analysts tend to give more favorable consensus recommendations to stocks classified as overvalued and, more important, these stocks subsequently tend to have particularly negative abnormal returns. Analysts whose recommendations are better aligned with anomaly signals are more skilled and elicit stronger recommendation announcement returns. Our findings suggest that analysts' biased recommendations could be a source of market friction that impedes the efficient correction of mispricing. (C) 2020 Elsevier B.V. All rights reserved.