Analyst following and institutional ownership.Working Paper # 629 PDF Download
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Author: Patricia C. O'Brien and Ravi Bhushan
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Author: Patricia C. O'Brien and Ravi Bhushan
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Author: Bobae Choi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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This paper examines the role of sophisticated investors in pricing future earnings. Using the future earnings response coefficient (FERC) model recently developed by Ettredge et al. (2005), we test the effect of analyst following and institutional ownership on the informativeness of stock returns on future earnings. We find that the informativeness of stock returns on future earnings, measured as the future earnings response coefficient, increases with the analyst following and institutional investors. We also investigate how the recently introduced Regulation Fair Disclosure in Korea affects the informativeness of stock returns on future earnings and its relation with analyst following and institutional investors. The results show that the regulation decreases the future earnings response coefficient in general and its relation with the analyst following, suggesting that their superior ability is impaired after the regulation. Our main results do not change much after controlling for the change in analyst following after the regulation and additional variables such as firm size, growth, earnings variability and accounting conservatism.
Author: Igor Kadach
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
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We study the effect of institutional ownership on firm coverage by equity analysts. To account for the endogeneity of institutional ownership we employ instrumental variable approach. Acquisition for cash of a company from an institutional investor's portfolio serves as an exogenous shock to the institutional ownership of other firms held by this institution. Contrary to prior studies, we document a negative effect of institutional ownership on analysts' coverage. However, this effect varies with initial analysts' following. Consistent with the theory of limited attention institutional ownership increases analysts' following for companies with low initial coverage and decrease it for companies with high initial coverage. Overall, our findings highlight the role of company's ownership structure in analysts' decision to follow the firm.
Author: Benjamin C. Ayers
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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This paper presents evidence that prices of firms followed by sell-side analysts and favored by institutional investors incorporate future earnings earlier than prices of other firms. Our tests are based on regressions of year t abnormal returns on earnings changes from years t-1, t, and t+1. We find that lead coefficients for firms most heavily followed by analysts or favored by institutions are greater than lead coefficients for firms with little analyst following or institutional holdings. In contrast, contemporaneous coefficients for analyst and institutional favorites are less than contemporaneous coefficients for other firms. Furthermore, the results for analysts and institutions are incremental to each other. In addition, neither effect is due to the fact that price leads are an increasing function of firm size.One possible explanation for our results is that market professionals are more skilled than other investors in analyzing publicly available information. Alternatively, the positive association between price leads and professional interest may exist only because management provides more detailed information to sell-side and buy-side analysts than to individual investors. This possibility prompted the SEC to issue Regulation FD, which creates a more level playing field for all investors by eliminating selective disclosures. Our results, which are based on data prior to the passage of Regulation FD, suggest that the quot;distribution gainquot; sought by the SEC may come with an quot;allocation cost.quot; That is, if Regulation FD causes management to reduce the flow of information to market professionals, the length of price leads could be shortened.
Author: Cheng-Few Lee
Publisher: Elsevier
ISBN: 0080543979
Category : Social Science
Languages : en
Pages : 345
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Book Description
This research annual publication intends to bring together investment analysis and portfolio theory and their implementation to portfolio management. It seeks theoretical and empirical research manuscripts with high quality in the area of investment and portfolio analysis. The contents will consist of original research on: The principles of portfolio management of equities and fixed-income securities. The evaluation of portfolios (or mutual funds) of common stocks, bonds, international assets, and options. The dynamic process of portfolio management. Strategies of international investments and portfolio management. The applications of useful and important analytical techniques such as mathematics, econometrics, statistics, and computers in the field of investment and portfolio management. Theoretical research related to options and futures. In addition, it also contains articles that present and examine new and important accounting, financial, and economic data for managing and evaluating portfolios of risky assets.
Author: Chitru S. Fernando
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Majid Darvishan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Using a broad panel of NYSE-, AMEX-, or NASDAQ-listed stocks, this paper studies the relation between institutional ownership concentration and stock price informativeness. One channel through which ownership concentration affects price informativeness is competition among institutional investors that trade on their private information. Stocks with less concentrated ownership are priced more efficiently, even after controlling for variation in institutional holdings, liquidity, and analyst coverage. The price adjustment is also faster for firms with lower ownership concentration.The higher informativeness cannot be explained by insider ownerships that tend to be more concentrated.
Author: Lucy F. Ackert
Publisher:
ISBN:
Category : Seasonal variations (Economics)
Languages : en
Pages : 34
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Author: Robert J. Bricker
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This study explores analyst following of companies in terms of equity analysts' potential trading and underwriting revenues and costs. Using measures of equity securities trading, equity securities issuance, risk, corporate disclosure, insider and institutional ownership, and complexity, we develop a series of empirical models predicting the direction and significance of associations between these hypothesized determinants and analyst following and test these models by applying OLS regression analysis to 1996 data from about 200 operating firms. Our results are generally significant and in the directions predicted in our hypotheses. They suggest that analyst following is positively related to equity trading, equity issuance and corporate disclosure, and negatively related to risk, insider and institutional ownership (organizational structure) and complexity. However, we find that some results are highly sensitive to the specification of other variables in the models. This research extends prior work by modeling analyst following in terms of explicit trading and underwriting revenues and costs, by integrating a number of previously independently-studied determinants of analyst following, by applying an improved measure of firm complexity, and by assessing the sensitivity of estimated coefficients and relationships to the specification of the model.
Author: Cheng F. Lee
Publisher: Center for PBBEFR & Airiti Press
ISBN: 9866286215
Category : Business & Economics
Languages : en
Pages :
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Book Description
Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.
