Equity Analysts and the Market's Assessment of Risk

• 成果类型: Article
• 署名作者: Lui, Daphne; Markov, Stanimir; Tamayo, Ane
• 署名单位: ESSEC Business School; University of Texas System; University of Texas Dallas; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/j.1475-679X.2012.00462.x
• 发表日期: 2012
• 页码: 1287-1317
• 关键词: information-content; corporate-debt; bond; recommendations; ratings

摘要

The traditional view of equity analysts is that they are a source of new information about future cash flows. We broaden this view by demonstrating that equity analysts are also a substantive source of new information about priced risk. In particular, we document that, when announced, changes in analyst risk ratings distinctly and significantly affect equity returns, and are generally followed by significant changes in FamaFrench factor loadings. Also, while less frequent than credit rating changes, equity risk rating changes are timelier, and with a larger overall stock price impact than credit rating changes.