The value of stock recommendations for investors: buy-and-hold abnormal returns in China
- MarcIannucci
Onze studie onderzocht rendementen op de beurs in China nadat financiële analisten een aanbeveling maakten. Eerst onderzochten we de investeringswaarde van aanbevelingen die financiële analisten vooropstelden. Vervolgens onderzochten we welke rol de analist speelt in het behalen van abnormale returns. We onderzochten achtereenvolgens de toegevoegde waarde van aanbevelingen gemaakt door financiële analisten. Hierbij maakten we een onderscheid tussen analisten die via hun bank betrokken waren bij de beursgang van het bedrijf en analisten die een sterrenstatus verkregen hadden. Die sterrenstatus is een jaarlijks gepubliceerde lijst die de analisten bevat die het voorgaande jaar de beste aanbevelingen maakten.
We analyseerden 25.398 aanbevelingen voor 993 ondernemingen die genoteerd stonden op de Shanghai Stock Exchange (SSE) of de Shenzhen Stock Exchange (SZSE) in de periode van 31 maart 2004 tot 27 augustus 2013. Uit ons onderzoek konden we concluderen dat beleggers die de aanbevelingen van de analisten volgden beter presteerden dan de markt. Uit onze resultaten blijkt dat men nóg hogere abnormale returns kan bekomen wanneer de analist betrokken was bij de beursgang. Met betrekking tot de sterrenstatus van de analist, vinden we geen bewijs dat sterrenanalisten betere aanbevelingen zouden maken dan gewone analisten. Integendeel, het empirisch bewijs toont zelfs aan dat de aanbevelingen van gewone analisten resulteren in hogere rendementen dan die van steranalisten.
Bibliografie
Baik, & Yi. (2007). Are affiliated analysts more likely than unaffiliated analysts to provide EPS forecasts that management can meet or beat? Working paper.
Barber, B., & Lyon, J. (1997). Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. Journal of Financial Economics(43), 341-372.
Barniv. (2009). Does foreign investor demand for information affect forecast accuracy? Journal of International Accounting, Auditing and Taxation.
Bartholdy, & Feng. (2013). The quality of securities firms' earnings forecasts and stock recommendations: Do informational advantages, reputation and experience matter in China? Pacific-Basing Finance Journal.
Beyer, & Guttmann. (2011). The effect of trading volume on analysts' forecast bias. The accounting review.
Bradley, Clarke, & Cooney. (2012). The impact of reputation on analysts’ conflicts of interest: hot versus cold markets. Journal of Banking and Finance(36), 2190-2202.
Brav, A., & Gompers, P. (1997). Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and non-venture backed companies. Journal of Finance, 1791-1821.
Chan, Jiang, Xu, & Yi. (2013). Do star analysts know more firm-specific information? Evidence from China. Journal of Banking and Finance, 37, 89-102.
Chang, H., Chang, R.-D., & Fang, C.-J. (2013). The effects of information transparency on analysts & forecasts: evidence from the information disclosure and transparency ratings system in Taiwan. Asia-Pacific Journal of Accounting and Economics.
Chen, J., Leong Kan, K., & Anderson, H. (2007). Size, book/market ratio and risk factor returns: evidence from China A-share market. Managerial Finance, 33(8), 574-594.
China Securities Regulatory Commission. (2006). China Securities and Futures Statistical Yearbook.
Coën, & Desfleurs. (2004). The evolution of financial analysts’ forecasts on Asian emerging markets. Journal of Multinational Financial Management, 14, 335-352.
Cowen, Groysberg, & Healy. (2006). Which types of analyst firms are more optimistic? Journal of Accounting and Economics.
European Commission - Financial Services User Group. (2013). Who own the European economy? Evolution of the ownership of EU-listed companies between 1970 and 2012.
Federal Reserve. (2011). Federal Reserve Statistical Release - Flow of Funds Accounts of the United States.
Friesen, & Weller. (2006). Quantifying cognitive biases in analyst earnings forecasts. Journal of Financial Markets.
Gao, S. (2002). China stock market in a global perspective. New Jersey: Dow Jones & Company.
Geretto, E., & Pauluzzo, R. (2012). Stock Exchange Markets in China: Structure and Main Problems. Transit Stud Rev, 89-116.
Glaum, Baetge, Grothe, & Oberdörster. (2011). Introduction of International Accounting Standards, Disclosure Quality and Accuracy of Analysts' Earnings Forecasts. European Accounting Review.
Griffin, Shu, & Topaloglu. (2012). Examining the Dark Side of Financial Markets: Do Institutions Trade on Information from Investment Bank Connections? The Review of Financial Studies, 25(7), 2155-2188.
Hong, & Kubik. (2003). Analyzing the analyst: career concerns and biased earnings forecasts. The Journal of Finance(58), 313-351.
Jacob, Rock, & Weber. (2008). Do non-investment bank analysts make better earnings forecasts? Journal of Accounting, Auditing and Finance.
Lin, & McNichols. (1998). Underwriting relationships, analysts’ earnings forecasts and investment recommendations. Journal of Accounting and Economics, 25, 101-127.
Lin, H.-w., & McNichols, M. F. (1998). Underwriting relationships, analysts' earnings forecasts. Journal of Accounting and Economics(25), 101-127.
Lin, Jang, & Tsang. (2013). Do security analysts herd on stock recommendations and does it affect returns? International Journal of Economics and Finance(5), 67-83.
Loughran, T., & Ritter, J. R. (1995 йил March). The new issues puzzle. The Journal of Finance(1), 23-51.
Malmendier, & Shanthikumar. (2007). Are small investors naive about incentives? Journal of Financial Economics, 85, 457-489.
Malmendier, U., & Shanthikumar, D. (2007). Do security analysts speak in two tongues? National Bureau of Economic Research, Cambridge, US.
Michaely, & Womack. (1999). Conflict of interest and the credibility of underwriter analyst recommendations. The Review of Financial Studies, 12(4), 653-686.
Michaely, R., & Womack, K. (2005). Brokerage recommendations: stylized characteristics, market responses and biases. In R. Thaler, Advances in behavioral finance II. Princeton University Press: Princeton, NJ.
Mikhail, Walther, & Willis. (1997). Do security analysts improve their performance with experience? Journal of Accounting Research, 35, 131-157.
Mola, & Guidolin. (2009). Affiliated mutual funds and analyst optimism. Journal of Financial Economics.
Moshirian, Ng, & Wu. (2008). The value of stock analysts’ recommendations: Evidence from emerging markets. International Review of Financial Analysis, 18, 74-83.
Office for National Statistics. (2012). Share Ownership - Share Register Survey Report.
Shanghai Stock Exchange. (2013). Fact Book.
Shenzhen Stock Exchange. (2013). Shenzhen Stock Exchange Fact Book; market statistics: market overview. In: Shenzhen Stock Exchange Fact Book.
Tokyo Stock Exchange. (2012). Shareownership Survey.
World Federation of Exchanges. (2013). Annual report and statistics.
Yu, F. (2007). Analyst coverage and earnings management. Journal of Financial Economics.
