همزمانی قیمت سهام و پوشش تحلیلی در بازارهای نوظهور

This paper examines the relation between the stock price synchronicity and analyst activity in emerging markets. Contrary to the conventional wisdom that security analysts specialize in the production of firm-specific information, we find that securities which are covered by more analysts incorporate greater (lesser) market-wide (firm-specific) information. Using the R2 statistics of the market model as a measure of synchronicity of stock price movement, we find that greater analyst coverage increases stock price synchronicity. Furthermore, after controlling for the influence of firm size on the lead–lag relation, we find that the returns of high analyst-following portfolio lead returns of low analyst-following portfolio more than vice versa. We also find that the aggregate change in the earnings forecasts in a high analyst-following portfolio affects the aggregate returns of the portfolio itself as well as those of the low analyst-following portfolio, whereas the aggregate change in the earnings forecasts of the low analyst-following portfolio have no predictive ability. Finally, when the forecast dispersion is high, the effect of analyst coverage on stock price synchronicity is reduced.

This paper investigates the informational role of security analysts in a number of emerging markets. We collect information from I/B/E/S International on analyst activity and examine whether analysts help generate market-wide or firm-specific information. Our paper is motivated by the finding in Morck et al. (2000) that stock prices move together more in emerging markets than in developed markets, which suggests that less firm-specific information is produced in emerging markets. Their interpretation is that in emerging markets, weak property rights discourage informed trading and therefore prevent firm-specific information from being incorporated into stock prices. In addition, the recent financial crisis in Asia and other emerging markets shows that the dissemination of firm-specific information to public investors is inadequate. This lack of firm-specific information in emerging markets can be attributed to a number of factors. First, there is little enforcement of the few regulations that relate to information disclosure in the emerging markets. Second, there is a low degree of voluntary disclosure and corporate transparency. Third, many companies in emerging markets are group affiliated or family owned, and it is difficult to collect reliable information on such companies. The above facts raise important questions about the role of security analysts in the information production process in emerging markets. The incentive of security analysts to collect private information about individual companies has been discussed in many theoretical papers (Admati and Pfleiderer, 1986; Diamond and Verrecchia, 1981; Grossman and Stiglitz, 1980). Empirically, a number of papers present evidence on the role of analysts in the U.S. market (Brown, 1978; O’ Brien, 1988; O’ Brien and Bhushan, 1990). However, few of these studies examine analyst activity in emerging markets, where the incentives to collect information might be different from those in developed markets. An exception is Chang et al. (2001), who examine analyst activity around the world, including in a number of emerging markets. They show that country-specific variables influence both the extent of analyst activity and the accuracy of analyst forecasts. They also show that in emerging markets, the earnings of business groups are more difficult to forecast than the earnings of nonbusiness groups. An important but unexplored issue is the nature of the information that is produced by security analysts. In particular, although the availability of firm-specific information is shown to affect external financing and the efficiency of capital markets (Durnev et al., 2003a and Durnev et al., 2003b), the role of security analysts in producing firm-specific information in emerging markets is unclear. As information intermediaries who issue earnings forecasts of individual companies, security analysts specialize in the production of firm-specific information. However, Piotroski and Roulstone (2004) find that in the U.S., although the presence of insiders and large institutional investors has the effect of increasing the amount of firm-specific information that is incorporated into stock prices, security analysts decrease that amount. In other words, in developed markets, security analysts do not have an advantage over insiders or institutional investors in accessing firm-specific information. On a theoretical basis, it is unclear whether the presence of security analysts increases market-wide or firm-specific information in emerging markets. Given the scarcity of publicly available company-specific news, due to less stringent information disclosure requirements in these markets, the benefits to be gained from collecting firm-specific information might be high so that there are strong incentives for analysts to collect such information. That is, the poor protection of investors’ property rights in emerging markets may lead to greater investor demand for analysts who produce firm-specific information. This conjecture is supported by the empirical evidence in Lang et al. (2004) who find that the additional monitoring provided by analyst coverage increases firm value, especially in countries with low levels of shareholder rights protection. On the other hand, Morck et al. (2000) argue that weak property rights discourage informed risk arbitrage based on firm-specific information. Consequently, the payoff to analysts who produce firm-specific information may be too low because it is not possible to arbitrage on them. Therefore, due to the difficulty associated with collecting firm-specific information in emerging markets, the information that a security analyst collects might have more macroeconomic content than firm-specific details. Using stock return synchronicity as a proxy for the amount of firm-specific information that is impounded into stock prices, we examine its relation with the level of analyst activity. If analysts generate mainly firm-specific information, we should observe a negative association between the synchronicity of stock price movements and the number of security analysts. If analysts generate market-wide information, then we should observe a positive association. Using R2 statistics from the market model as a measure of synchronicity of stock price movement, we find that greater analyst coverage increases stock price synchronicity. Therefore, our results for emerging markets are similar to those of Piotroski and Roulstone (2004) for the U.S. market. An alternative interpretation of our results is that more analyst coverage lessens the amount of firm-specific noise. If firm-specific stock price movements reflect noise, then the presence of more security analysts decreases the level of noise, and consequently increases stock return synchronicity. We therefore examine the information that is contained in stock prices and earnings forecasts of firms followed by more or fewer analysts. First, we examine the lead–lag relation among stock returns of low analyst-following and high analyst-following firms. Controlling for the firm-size effect, we find that the returns of high analyst-following firms lead returns of low analyst-following portfolio, which supports the conjecture that firms that are followed by more analysts are faster in incorporating market-wide information into their stock prices than are firms followed by fewer analysts. We also compare the information contained in the aggregate change in earnings forecasts across firms in low analyst-following and high analyst-following portfolios. The aggregate change in earnings forecasts in the two portfolios is a direct measure of news about the systematic information. We find that the aggregate change in earnings forecasts in a high analyst-following stock portfolio affects aggregate returns of the portfolio itself as well as the aggregate returns of the low analyst-following stock portfolio. In contrast, the aggregate change in earnings forecasts in the low analyst-following stock portfolio does not provide information about the returns on either of the two portfolios. Overall, our evidence is consistent with the explanation that the information produced by security analysts has more market-wide content. This paper is organized as follows. Section 2 reviews previous work on stock return synchronicity and analyst activity. Section 3 discusses the construction of the variables. Section 4 presents the empirical methodologies and analysis, which is followed by concluding remarks in Section 5.

This paper examines the relation between stock return synchronicity and analyst activity in emerging markets. Contrary to the conventional wisdom that security analysts specialize in the production of firm-specific information, we find that security analysts predominantly produce market-wide information. First, using the R2 of a market model as a measure of the synchronicity of stock price movements, we find that coverage by more analysts increases stock price synchronicity. Furthermore, after controlling for the influence of firm size on lead–lag relations, we find that the returns of a high analyst-following portfolio lead the returns of a low analyst-following portfolio more than the converse. We also find that the aggregate changes in earnings forecasts of a high analyst-following portfolio affect the aggregate returns of all stocks, including those with low analyst following. In contrast, the aggregate change in the earnings forecasts of a low analyst-following portfolio has little predictive content for the returns of any portfolio. Finally, when the forecast dispersion is high, the effect of analyst coverage on stock price synchronicity is reduced. The results presented in our paper also have some implications for analyst activity in developed markets. First, our work is related to Piotroski and Roulstone (2004) who find that although the presence of insiders and large institutional owners in the U.S. have the net effect of increasing the amount of firm-specific information in stock prices, security analysts decrease the amount of firm-specific information. Therefore, security analysts do not have any advantage over insiders and institutional investors in producing firm-specific information. Our results based on emerging markets demonstrate that poor information disclosure and lack of corporate transparency increases the cost of collecting firm-specific information, so that security analysts generate their earnings forecasts based mostly on macroeconomic information. Hence, one could also examine whether firms with poor corporate transparency in developed markets have less firm-specific information discovered by security analysts. Second, given the large market-wide information content in analyst forecasts, it might be beneficial for analysts to learn from the forecasts of analysts covering different stocks. One could therefore extend the study to developed markets and examine whether analysts follow each other in generating earnings forecasts for different firms. Furthermore, our results show that a revision in the earnings forecast of one stock has predictive ability for returns of other stocks. A natural extension is to examine whether earnings forecasts of stocks with large analyst coverage are more informative and have larger price impact on other stocks in the same market (or industry) than stocks with little analyst coverage.