Is there an analyst (un)coverage premium?

Merve G. Cevheroğlu-Açar, Cenk C. Karahan and Neslihan Yılmaz

Research in International Business and Finance, 2022, vol. 61, issue C

Abstract: We investigate whether the variation in the level of information availability relates to a performance differential across share prices. Using the number of analyst reports on the stock as proxy, we study twenty countries’ stock markets and find that there exists a positive analyst (un)coverage return in fifteen countries with twelve of them statistically significant. This suggests a premium on stocks which are not followed by analysts. A zero-investment arbitrage strategy that longs the no-coverage stocks and shorts the high-coverage stocks in equal-weighted portfolios generates an average of 0.34% in monthly alpha across the twenty countries studied.

Keywords: Asset Prices; Analyst Coverage; Multifactor Models (search for similar items in EconPapers)
JEL-codes: G12 G15 G24 G40 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000538

DOI: 10.1016/j.ribaf.2022.101665

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