ارتباط ارزش پیش بینی درآمد تحلیلگر در بازارهای نوظهور

Even though research in accounting and finance has extensively examined the role of financial analysts in developed economies, this issue has not been thoroughly examined in an emerging market setting. In this paper, I examine whether, following a market opening, analyst forecast accuracy and the market's reliance on analyst forecasts increase with time. Accuracy is expected to increase over time as analysts exert more effort and gain valuable forecasting experience. Results indicate that time is positively related to analyst forecast accuracy after controlling for a number of other firm and country characteristics. Second, I posit that time should also be related to the market's propensity to use analyst forecasts to form earnings expectations. As markets open and investors become more sophisticated, the reliance on analyst forecasts should also increase. Results are consistent with this expectation. In particular, I find that in the first sub-period earnings expectations based on random walk exhibit greater relative information content than earnings expectations based on analyst forecasts. This pattern is reversed in the third sub-period where analyst forecast errors better explain returns. Incremental information content tests produce similar results. Future research should further investigate the relation between financial analysts and other important market characteristics in emerging economies.

Extant research has focused extensively on the role of financial analysts in the functioning of capital markets. Analyst earnings forecasts have been shown to be more accurate than time series forecasts (O'Brien, 1988) and that the market tends to rely on these forecasts to a greater extent than time series model predictions (Fried and Givoly, 1982 and Hopwood and McKeown, 1990). In addition, properties of analyst forecasts have been associated with market and firm attributes. For example, analyst following and accuracy (dispersion) have (has) been positively (negatively) associated with the quality of the firm's information environment (Abarbanell et al., 1995, Healy et al., 1999, Hope, 2003 and Lang and Lundholm, 1996) while studies have also documented a positive relation between accuracy and analyst following (Lys & Soo, 1995). Analyst coverage and accuracy have been positively associated with firm value (Lang, Lins, & Miller, 2003). Better information environment results in lower cost of capital and greater liquidity thus enhancing the efficiency of the market (Botosan, 1997, Frost et al., 2006, Hail and Leuz, 2006 and Leuz and Verrecchia, 2000). Analyst following has also been associated with the extent of underpricing in both seasoned equity offerings and IPOs (Bowen et al., 2003 and Rajan and Servaes, 1997). Taken together the results suggest that analysts play a very important role in capital markets. Another important recent stream of literature deals with emerging market characteristics. The term “emerging market” refers to the securities markets of developing economies which are gradually becoming an integral part of the world capital markets (Liaw, 1999). Emerging markets are typically economies with low-to-middle per capita income in a state of transition to developed economy status. Thus emerging markets offer an opportunity for investors to diversify internationally by adding some risk to their portfolios. A number of papers examine market characteristics in these emerging economies, specifically, return structures and relation with risk (Bilson et al., 2002 and Serra, 2000), volatility (Huang & Yang, 2000), and the degree of integration with developed markets (Bekaert and Harvey, 2002 and Errunza and Miller, 2000). An important stream of this literature deals with the benefits and costs of market liberalizations. Market openings for example, have been shown to positively affect market volatility (Hooper, 2001) and are also linked to increased risk of financial crisis (Ito, 2004 and Krugman, 1999, September 7). Yet, other evidence suggests that market openings have positive effects on the markets as they reduce the cost of capital (Bekaert and Harvey, 2000 and Henry, 2000), increase stock returns and market efficiency but without increasing volatility (Kim & Singal, 2000). As the level of foreign investment and interest in these emerging markets is growing, especially as a response to the recent financial crisis, it becomes more important to learn about the underlying structures that could affect investment decisions in these markets.1 This paper brings the two streams of literature together, to provide preliminary evidence on the role of financial analysts in six emerging markets. Analysts are a very important group of market participants, yet their role in emerging markets has not been thoroughly examined. Hoguet (2006) who examines the number of analyst earnings estimates in emerging markets, is one notable exemption. This paper examines two important analyst forecast properties: forecast accuracy and the degree to which analyst forecasts reflect market expectations of earnings. The two characteristics are inter-related. Forecast accuracy indicates the level of analyst ability and output quality in environments that do not necessarily stress the importance of information and transparency. In this environment, forecast accuracy should be of great importance to both local and foreign investors for their investment decisions. The market reliance on analyst forecasts as proxy for earnings expectations, also provides additional evidence on analyst research quality, since greater reliance on analyst forecasts would suggest that analyst forecasts exhibit desirable levels of quality. In addition, and based on Walther (1997), increasing reliance on analyst forecasts would also indicate increasing market sophistication and thus further market development. More importantly, I study the change in analyst forecast accuracy and market reliance on analyst forecasts over time. In particular, building on Henry (2000) who suggests that the benefits of market openings are gradually realized, I posit that following stock market openings, both accuracy and market reliance on analyst forecasts increase with time as investors in these markets become increasingly more sophisticated. Both of these questions are important to investors considering the international diversification of their portfolios. Results for sample firms indicate that in the period following market liberalizations analyst forecast accuracy increases over time after controlling for a number of other firm and country characteristics that can affect analyst accuracy. In addition, even though for the first sub-period the markets rely mostly on random walk to form earnings expectations the trend changes toward the end of the study's period as analyst forecast errors become increasingly more important. It thus seems that significant learning curves exist that affect both analyst forecast accuracy and the market's reliance on analyst forecasts.

The objective of this study is to provide additional insights on how emerging markets work by examining the role of financial analysts. Specifically, I examine how earnings forecast quality changes over time following a recent market opening which is assumed to affect the level of investor sophistication. I find that analyst forecast accuracy increases over time consistent with analysts exerting more effort on the quality of their forecasts, possibly by gaining more experience and/or by responding to quality demands by more sophisticated investors. In addition, I also find that the market increasingly relies on analyst earnings forecasts. Specifically, even though in the earlier period the market solely relied on random walk earnings to form its expectations, in the later period the market mostly relies on analyst forecasts. Thus even though in the earlier period the test of relative information content indicated that random walk earnings capture market expectations better, in the later period the test indicates analyst forecasts as better explaining returns. Tests of incremental information content corroborate these results. This paper provides preliminary evidence on the role of financial analysts in emerging markets by primarily looking at forecast quality measured directly by analyst accuracy and indirectly by examining the market reliance on these forecasts. The role of financial analysts in emerging markets has not been thoroughly examined and future research can build on and expand these results to further our understanding on the interplay between analysts and important market characteristics.