所属栏目:资本市场/市场有效性/2023/2023年第07期

Do Analysts Disseminate Anomaly Information in China?
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发布日期:2023年08月24日 上次修订日期:2023年08月24日

摘要

This study examines whether sell-side analysts have the ability to disseminate information consistent with anomaly prescriptions in China. I adopt 192 trading-based and accounting-based anomaly signals to identify undervalued and overvalued stocks. Analysts tend to give more (less) favorable recommendations and earnings forecasts to undervalued (overvalued) stocks. On analyzing the information content, I find that analyst recommendations and earnings forecasts are consistent with accounting-based information rather than trading-based information. Analysts make recommendations and earnings forecasts consistent with anomalies, especially when firms experience relatively bad firm-level information. Additionally, undervalued (overvalued) stocks are associated with high (low) analyst coverage. The results indicate that analysts may contribute to mitigating anomaly mispricing and improving market efficiency in China.
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Fang Qiao Do Analysts Disseminate Anomaly Information in China? (2023年08月24日) https://www.cfrn.com.cn/dzqk/detail/14854.html

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