Earticle

초록

영어

Prior literature has documented that analysts engage in valuable information discovery and information interpretation. Our contribution is to introduce and document a third role that analysts play that is also valuable to investors, which we term “stock timing.” Specifically, we define a timing report as one where the analyst revises his recommendation but does not revise the Price Target or any of the 23 fundamental drivers of stock price (such as EPS, FCF) tracked by I/B/E/S. Because the analyst maintains the same price target as in his prior report but still revises his recommendation, such timing calls are contrarian valuation calls. Analysts issue timing downgrades (upgrades) in response to price increases (declines) since the release of their prior report on the firm. About 30% of all revisions are timing reports, indicating the importance of the timing role played by analysts. We find the return over a 3-day window around the report date is over 2% in magnitude. Further, 62% of the reports are winners (have announcement returns that have the correct sign), 10% of the reports are large enough to be considered influential, and 37% of the reports are persistent winners. These results suggest that analysts have timing ability. We find considerable cross-sectional and time-series variation in timing ability. We find that the probability of issuing a timing report is positively related to the opportunities to time the stock provided by potential mispricing. Conditional on issuing a timing report, the probability of issuing a winner, an influential winner, or a persistent winner is positively related to analyst experience and negatively related to the costs associated with issuing a timing report.

목차

Abstract
 Stock Timing by Analysts
 I. Data
  A. Definitions of Timing
  B. Classification of Reports as Discovery, Interpretation, and Timing
  C. Timing Frequency Around Earnings
  D. Are These Truly Timing Reports?
  E. Prevalence of Timing Reports
 II. Main Results
  A. Do Analysts have Timing Ability?
  B. What Factors Explain the Variation in Timing Ability?
 III. Robustness
  A. Alternative Definitions of Timing
  B. Alternative Estimation Windows
 IV. Conclusions
 References

키워드

저자

• Naveen D. Daniel [ LeBow College of Business, Drexel University, Philadelphia, PA 19104, USA ]
• Sangmook Lee [ Penn State Great Valley, Malvern, PA 19122, USA ]
• Lalitha Naveen [ Fox School of Business, Temple University, Philadelphia, PA 19122, USA ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330