Using a sample of Chinese security analysts’recommendations from 2005 to2010,we examine the source of analysts’superiority and the investment value of their recommendations.Using a calendar-time portfolio approach,w...Using a sample of Chinese security analysts’recommendations from 2005 to2010,we examine the source of analysts’superiority and the investment value of their recommendations.Using a calendar-time portfolio approach,we find that,on average,analysts’recommendations are valuable and that analysts are better at analyzing and transferring firm-specific information than market-wide or industry-level information.In addition,we show that the investment value of recommendations increases as firm-specific information becomes more important in stock pricing.Our empirical results are useful in guiding investors and helping brokerage houses to evaluate the output of research departments.展开更多
The progressive removal of short-selling constraints in the Chinese stock market provides us with a natural experiment to investigate the relationship between firm-specific return variation(FSRV)and price informativen...The progressive removal of short-selling constraints in the Chinese stock market provides us with a natural experiment to investigate the relationship between firm-specific return variation(FSRV)and price informativeness.Based on the empirical finding that idiosyncratic volatility is a satisfied proxy for FSRV when the information environment for individual firms improves,we mainly find that the FSRV is negatively related to price informativeness.This negative relationship is robust to alternative model specifications,alternative proxies for price informativeness,and alternative estimation windows.Generally speaking,our results complement the extant literature on the mixed relationships between FSRV and price informativeness by providing cross-sectional evidence.展开更多
Stock price movements in China still remain highly harmonious, in spite of the many significant regulatory and structural changes over the recent years. A survey of the literature reveals that harmony in the stock pri...Stock price movements in China still remain highly harmonious, in spite of the many significant regulatory and structural changes over the recent years. A survey of the literature reveals that harmony in the stock price movements is related to a few salient features in China＇s capital market： high ownership concentration, high incidence of the use of pyramidal ownership structure, significant state ownership, and a lack of active institutional investors. In addition, we also point out that harmonious stock prices may generally result from low intensity of private information acquisitions by risk arbitrageurs.展开更多
基金financial support of the research project (13R21421500) sponsored by the Shanghai Science and Technology Commissionsupport from the National Natural Science Foundation of China (71272221, 71402197)supported by grants from the Shanghai College of first-class discipline in the Shanghai International Studies University,the Beijing Municipal Commission of Education "Joint Construction Project" and the Beijing Municipal Commission of Education "Pilot Reform of Accounting Discipline Clustering"
文摘Using a sample of Chinese security analysts’recommendations from 2005 to2010,we examine the source of analysts’superiority and the investment value of their recommendations.Using a calendar-time portfolio approach,we find that,on average,analysts’recommendations are valuable and that analysts are better at analyzing and transferring firm-specific information than market-wide or industry-level information.In addition,we show that the investment value of recommendations increases as firm-specific information becomes more important in stock pricing.Our empirical results are useful in guiding investors and helping brokerage houses to evaluate the output of research departments.
基金supported by the National Natural Science Foundation of China(Grant Number:71320107003).
文摘The progressive removal of short-selling constraints in the Chinese stock market provides us with a natural experiment to investigate the relationship between firm-specific return variation(FSRV)and price informativeness.Based on the empirical finding that idiosyncratic volatility is a satisfied proxy for FSRV when the information environment for individual firms improves,we mainly find that the FSRV is negatively related to price informativeness.This negative relationship is robust to alternative model specifications,alternative proxies for price informativeness,and alternative estimation windows.Generally speaking,our results complement the extant literature on the mixed relationships between FSRV and price informativeness by providing cross-sectional evidence.
文摘Stock price movements in China still remain highly harmonious, in spite of the many significant regulatory and structural changes over the recent years. A survey of the literature reveals that harmony in the stock price movements is related to a few salient features in China＇s capital market： high ownership concentration, high incidence of the use of pyramidal ownership structure, significant state ownership, and a lack of active institutional investors. In addition, we also point out that harmonious stock prices may generally result from low intensity of private information acquisitions by risk arbitrageurs.
