The Library
Do differences in analyst quality matter for investors relying on consensus information?
Tools
Michaely, Roni, Rubin, Amir, Segal, Dan and Vedrashko, Alexander (2024) Do differences in analyst quality matter for investors relying on consensus information? Management Science, 70 (2). pp. 751-772. doi:10.1287/mnsc.2023.4699 ISSN 0025-1909.
|
PDF
WRAP-Do-differences-analyst-quality-investors-relying-consensus-information-2022.pdf - Accepted Version - Requires a PDF viewer. Download (861Kb) | Preview |
Official URL: https://doi.org/10.1287/mnsc.2023.4699
Abstract
This study investigates whether investors can reap economic benefits from analyzing differences in analyst quality. Although high-quality analysts’ average forecast is more accurate than the consensus forecast for firms with a large analyst following, the benefits of using high-quality analysts’ average forecasts are not economically significant. In contrast, the value of analyst quality differentiation exists in the second moment of forecasts. High-quality analysts’ forecast dispersion gives investors an advantage in dealing with uncertainty by predicting return volatility and providing opportunities for economically significant returns using option straddle and post-earnings announcement drift investment strategies.
Item Type: | Journal Article | ||||||||
---|---|---|---|---|---|---|---|---|---|
Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HG Finance |
||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Library of Congress Subject Headings (LCSH): | Investments, Investment analysis, Business forecasting , Econometrics | ||||||||
Journal or Publication Title: | Management Science | ||||||||
Publisher: | Institute for Operations Research and the Management Sciences (I N F O R M S) | ||||||||
ISSN: | 0025-1909 | ||||||||
Official Date: | February 2024 | ||||||||
Dates: |
|
||||||||
Volume: | 70 | ||||||||
Number: | 2 | ||||||||
Page Range: | pp. 751-772 | ||||||||
DOI: | 10.1287/mnsc.2023.4699 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Copyright Holders: | Copyright © 2023, INFORMS | ||||||||
Date of first compliant deposit: | 5 July 2022 | ||||||||
Date of first compliant Open Access: | 6 July 2022 | ||||||||
Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year