A Re‐examination of Analyst Under‐reaction1. (16th October 2013)

• Record Type: Journal Article
• Authors: Baik, Bok; Lee, Su Jeong
• Is Part Of: Asia-Pacific journal of financial studies. Volume 42:Number 5(2013:Oct.)
• Page Start: 724
• Page End: 754
• Publication Date: 2013-10-16
• Subjects: Pacific Area -- Economic conditions -- Periodicals; Finance -- Asia -- Periodicals; Finance -- Pacific Area -- Periodicals; Asia -- Economic conditions -- Periodicals; 332.09505
• DOI: 10.1111/ajfs.12029
• Languages: English
• ISSNs: 2041-9945

Abstract

<abstract abstract-type="main" id="ajfs12029-abs-0001"> <title>Abstract</title> <p>Prior studies suggest that analysts under‐react to past information (Klein, <xref ref-type="link" rid="ajfs12029-bib-0026">1990</xref>; Abarbanell and Bernard, <xref ref-type="link" rid="ajfs12029-bib-0002">1992</xref>; Easterwood and Nutt, <xref ref-type="link" rid="ajfs12029-bib-0015">1999</xref>). We examine whether evidence interpreted as analyst under‐reaction to negative news can be attributed to analyst self‐selection. Analyst self‐selection arises when analysts' information production efforts are focused toward stocks that analysts expect to perform well. Using a large sample of firms for the period of 1983–2004, we find evidence suggesting that self‐selection is responsible, at least in part, for analyst under‐reaction to past negative information about the firm's performance.</p> </abstract>