Is Sell-Side Research More Valuable in Bad Times?

• 成果类型: Article
• 署名作者: Loh, Roger K.; Stulz, Rene M.
• 署名单位: Singapore Management University; University System of Ohio; Ohio State University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12611
• 发表日期: 2018
• 页码: 959-1013
• 关键词: SECURITY ANALYSTS IMPROVE; mutual fund performance; EARNINGS FORECASTS; stock returns; cross-section; OF-INTEREST; recommendations; INFORMATION; accuracy; IMPACT

摘要

Because uncertainty is high in bad times, investors find it harder to assess firm prospects and hence should value analyst output more. However, higher uncertainty makes analysts' tasks harder, so it is unclear whether analyst output is more valuable in bad times. We find that in bad times, analyst revisions have a larger stock-price impact, earnings forecast errors per unit of uncertainty fall, and analyst reports are more frequent and longer. The increased impact of analysts is also more pronounced for harder-to-value firms. These results are consistent with analysts working harder and investors relying more on analysts in bad times.