Private information and analyst coverage: Evidence from firm survey data

Yoshiyuki Nakazono, Maiko Koga and Tomohiro Sugo

Journal of Economic Behavior & Organization, 2020, vol. 174, issue C, 284-298

Abstract: Using a unique panel of survey data on Japanese firms, we provide evidence that firms hold private information revealed in the survey that has predictive power for stock returns. Specifically, we find that the information contained in firms’ industry demand forecasts can predict the stock returns of the sector and individual firms up to the next five years. We also uncover the origin of the information advantage of firms, by examining its relation to analyst coverage. To examine the source of the information asymmetry this result implies, we focus on the extent to which firms are covered by securities analysts and find that such information asymmetry arises only in the case of firms not sufficiently covered by analysts.

Keywords: Analyst coverage; Efficient market hypothesis; Return predictability; Information advantage; Private information; Survey data (search for similar items in EconPapers)
JEL-codes: D84 G23 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167268120301104
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Private Information and Analyst Coverage: Evidence from Firm Survey Data (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:174:y:2020:i:c:p:284-298

DOI: 10.1016/j.jebo.2020.03.038

Access Statistics for this article

Journal of Economic Behavior & Organization is currently edited by Houser, D. and Puzzello, D.

More articles in Journal of Economic Behavior & Organization from Elsevier
Bibliographic data for series maintained by Catherine Liu ().