학회소식
[2015년 제 4차] Information Discovery by Analysts
작성자 : 관리자
조회수 : 885
게시일 :
2016-01-08
Our contribution is to document that analysts add value by engaging in discovery of private information and this value addition is greater than that due to interpretation of public news or stock timing. The innovation in our paper is to read over 3,700 analyst reports from Investext and explicitly identify whether the report contains discovery, interpretation, and/or timing. Analysts discover new information by talking to management sources (personal meetings, investor meetings, and conference calls) or non-management sources (such as channel checks). We find that information discovery is prevalent in 17% of the reports. The cumulative abnormal return (CAR) for reports containing discovery are 6.3% for upgrades and -10.6% for downgrades. The CARs are higher for reports containing discovery relative to those containing interpretation or timing. We find that economic determinants predict whether a report will contain discovery. Discovery from management sources is more likely for reports in the pre-Reg FD period and for reports by optimistic analysts. Discovery from non-management sources is more likely for reports written by All-Star analysts, and for firms that have high information asymmetry and those that are followed by more analysts.
