학회소식
[2016년 제 4차] Stock Timing by Analysts
작성자 : 관리자
조회수 : 822
게시일 :
2016-12-21
Prior literature has documented that analysts engage in valuable information discovery and information interpretation. Our contribution is to introduce 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 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. We find the 3-day announcement return is over 2% in magnitude, 62% of the reports are winners, 10% of the reports are large enough to be considered influential. The ability to time is similar is magnitude to information interpretation but smaller compared to information discovery. 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.
