Sell-Side Analysts and Stock Mispricing: Evidence from Mutual Fund Flow-Driven Trading Pressure

• 成果类型: Article
• 署名作者: Sulaeman, Johan; Wei, Kelsey D.
• 署名单位: National University of Singapore; University of Texas System; University of Texas Dallas
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3073
• 发表日期: 2019
• 页码: 5427-5448
• 关键词: stock mispricing; mutual fund trading pressure; analyst research

摘要

Using the setting of extreme mutual fund flow-driven trading pressure, this paper examines sell-side analysts' role in stabilizing capital markets. We find that a select group of analysts persistently issue price-correcting recommendation changes for stocks experiencing mutual fund flow-driven mispricing. Such recommendation changes are accompanied by little change to their concurrent earnings forecasts and appear to be driven by the superior research skill of these mispricing-sensitive analysts. Stocks receiving price-correcting recommendation changes experience less severe liquidity deterioration, more immediate price correction, and consequently smaller subsequent long-run return reversal. Our findings highlight analysts' unique role in facilitating liquidity provision and stabilizing capital markets during severe mispricing events.