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| Author: | Chan, K. Hameed, A. |
| Title: | Stock price synchronicity and analyst coverage in emerging markets |
| Journal: | Journal of Financial Economics
2006 : APR, VOL. 80:1, p. 115-147 |
| Index terms: | international financial markets emerging markets information efficiency securities share prices models |
| Language: | eng |
| Abstract: | In the paper, examined is the relation btw. the stock price (hereafter as: st-prc.) synchronicity (here as: synchr.) and analyst (as: anl./anls.) activity in emerging markets. It is found that securities covered by more anls. incorporate greater (lesser) market-wide (firm-specific) information. Using the R2 statistics of the market model as a measure of synchr. of st-prc. movement, it is found that greater anl. coverage increases st-prc. synchr. In addition, after controlling for the influence of firm size on the lead-lag relation, it is found among others that the returns of high analyst-following portfolio (as: anl-foll-pf.) lead returns of low anl-foll-pf. more than vice versa. |
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