What makes a stock risky? : Evidence from sell-side analysts' risk ratings

• 成果类型: Article
• 署名作者: Lui, Daphne; Markov, Stanimir; Tamayo, Ane
• 署名单位: Lancaster University; Emory University; University of London; London Business School
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/j.1475-679X.2007.00242.x
• 发表日期: 2007
• 页码: 629-665
• 关键词: CAPITAL-MARKET EQUILIBRIUM; cross-section; idiosyncratic risk; empirical-analysis; earnings; returns; liquidity; equity; Informativeness; INVESTMENT

摘要

We examine the determinants and the informativeness of financial analysts' risk ratings using a large sample of research reports issued by Salomon Smith Barney, now Citigroup, over the period 1997-2003. We find that the cross-sectional variation in risk ratings is largely explained by variables commonly viewed as measures of risk, such as idiosyncratic risk, size, book-to-market, and leverage. In addition, earnings-based measures of risk, such as earnings quality and accounting losses, also contribute to explaining the cross-sectional variation in the risk ratings. Finally, we document that the risk ratings can be used to predict future return volatility after controlling for other predictors of future volatility. We conclude that analysts play an important role as providers of information about investment risk.