Analysts' Reputational Concerns, Self-Censoring, and the International Dispersion Effect

• 成果类型: Article
• 署名作者: Hwang, Chuan-Yang; Li, Yuan
• 署名单位: Nanyang Technological University; University of Cambridge; University of Cambridge
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2642
• 发表日期: 2018
• 页码: 2289-2307
• 关键词: analysts' incentives; analysts' reputational concerns; self-censoring; dispersion effect; International markets

摘要

Stocks with higher forecast dispersion earn lower future returns and have a greater upward bias in the mean reported earnings forecast in international markets. Both phenomena are stronger in countries with more transparent information environments, more developed stock markets, stronger investor protection, greater capital openness, and more intense usage of analysts' earnings forecasts. Using the 1997-1998 Asian financial crisis as a natural experiment, we find that both phenomena become weaker postcrisis in Malaysia, which imposed capital controls, relative to Thailand and South Korea, which opened their financial markets to foreigners. These results suggest that analysts in countries with greater demand for their forecasts and hence greater concerns for reputations are more likely to self-censor their low forecasts, which leads to a stronger dispersion-bias relation and a stronger dispersion effect.