Quants and market anomalies

• 成果类型: Article
• 署名作者: Birru, Justin; Gokkaya, Sinan; Liu, Xi; Markov, Stanimir
• 署名单位: University System of Ohio; Ohio State University; University System of Ohio; Ohio University; Ohio State University; University System of Ohio; Miami University; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2024.101688
• 发表日期: 2024
• 关键词: CONFLICTS-OF-INTEREST; sell-side research; institutional investors; FORECAST ACCURACY; cross-section; Fund flows; DUMB MONEY; analysts; INFORMATION; recommendations

摘要

Sell-side quantitative equity research analysts (Quants) conduct econometric analyses of stock returns to uncover market anomalies and assist equity analysts and institutional clients with stock selection. We present novel evidence that establishes their role in helping analysts and mutual fund clients discover market anomalies and capital markets evolve toward greater pricing efficiency. Specifically, we find that analysts and mutual fund clients with greater access to Quants make recommendations and trades that reveal greater knowledge of anomalous cross-sectional return predictability. More importantly, cross-sectional return predictability is weaker in stocks that have higher coverage (ownership) by analysts (mutual fund clients) with access to Quants, and strengthens when quasi-exogenous brokerage house closures reduce the availability of Quants.