عوامل مؤثر در ارزشمندی اطلاعات پژوهش تحلیلگران

We examine cross-sectional determinants of the informativeness of analyst research, i.e., their effect on security prices, controlling for endogeneity among the factors affecting informativeness. Analyst reports are more informative when the potential brokerage profits are higher (e.g., high trading volume, high volatility, and high institutional ownership) and lower when information processing costs (e.g., more business segments) are high. We also find that the informativeness of analyst research and informativeness of financial statements are complements.

We study the determinants of the magnitude (i.e., absolute value) of stock price reaction to analyst reports. We define the informativeness of an analyst report (referred to in the paper as AI, analyst informativeness) as the average magnitude of a firm's stock price reaction to analysts’ reports in a given year. Our measure of informativeness is related to the variance measure of informativeness of earnings reports pioneered by Beaver (1968) and used in subsequent research (see Landsman and Maydew (2002), and Francis et al., (2002) for recent applications). Much of previous research studies the informativeness of consensus forecast, whereas our primary focus is on examining the average price impact of individual analyst reports and determinants of the informativeness of a report. 1 Such research on the informativeness of analyst reports is important for several reasons. First, recently voiced concern about the integrity and objectivity of analysts in the academic literature and in the financial press raises skepticism about the informativeness of analyst research. Our analysis of the informativeness of analyst reports is helpful in ascertaining whether and how much price-sensitive information exists in a typical analyst report. 2 Second, analysts as information providers in capital markets decide on which firms to follow and how many reports to issue on each firm. By investigating the determinants of analyst informativeness (AI) we examine whether the incentive to provide informative reports influences analysts’ decisions to follow a firm. Finally, previous research suggests that there is also demand for analysts to simply repackage and re-transmit and also to interpret corporate disclosures to generate investment banking and brokerage business, potentially making analyst reports less informative. The net effect of the aforementioned three reasons on the average informativeness of analyst reports is an empirical issue. Moreover, cross-sectional variation in the informativeness of the reports is determined by multiple factors, with some of those being endogenous, the focus of our study. Our examination of the determinants of cross-sectional variation in AI is similar to examining why some firms’ returns are more volatile than others. Clearly, event-specific factors cause price movements and therefore return volatility, but in explaining differences in volatility one seeks to understand why news comes in larger doses for some firms and in smaller doses for others. Our study provides evidence on why for some firms the average magnitude of news in analyst reports is greater than that for others. Previous research has typically examined the relation between analyst following and firm characteristics under the assumption that analyst-following proxies for the resources devoted to information collection and thus the informativeness of analyst reports (see Bhushan, 1989a, O’Brien and Bhushan, 1990; Lang and Lundholm, 1996; Hong et al., 2000). Unlike prior research, we do not assume that the richness of the information set attributable to analysts is automatically an increasing function of the number of analysts following for a firm. We examine analyst following as one factor among many that can positively or negatively influence the informativeness of analyst reports. In addition, our analysis of the endogenous relation between AI and various firm characteristics extends previous research by O’Brien and Bhushan (1990), Alford and Berger (1999), and others.

In this paper we provide further evidence that, on average, analysts’ reports are informative. That is, the market's reaction on dates analysts issue reports is greater than (in absolute value) on other days, on average. We then focus on the cross-sectional determinants of AI, controlling for endogeneity among the factors affecting informativeness. Our main findings are: (i) AI increases in uncertain environments that are likely to lead to high brokerage profits (i.e., high return volatility, high trading volume and high institutional ownership); (ii) AI is reduced in circumstances of increased information processing costs (e.g., more business segments); (iii) analysts are more informative when financial statements are more highly related to prices, which is consistent with analysts complementing financial disclosure; and (iv) the marginal impact of an (additional) analyst or an analyst report on the informativeness of analyst reports is indistinguishable from zero. Our finding that the estimated informativeness of an analyst report does not decline with the number of analysts (or analyst reports) for a firm has two implications. First, the result supports the reliability of the analyst following as a proxy for information production about a firm. This proxy is widely used in the literature (e.g., Bhushan, 1989b; O’Brien and Bhushan, 1990; Brennan and Subramanyam, 1995; Lang and Lundholm, 1996). Second, the result suggests that the ability to supply information is an important impetus for an analyst when deciding to follow a company. Overall, these results suggest that analyst activities are sensitive to factors associated with the demand for and the supply of informative research. Thus, they represent a challenge to those who allege that analyst activities are primarily a marketing device for brokerage firms that provides little information to investors. Instead analysts become more informative when investors can derive greater benefits from private information and become less informative when the costs of supplying private information are high. These results suggest that desire to supply private information is a significant impetus for analyst activities.