Analyst valuation and corporate value discovery
Hung-Neng Lai and
International Review of Economics & Finance, 2015, vol. 35, issue C, 235-248
This paper examines firm-level valuations by financial analysts and by the market, using a traditional vector error-correction model (VECM) or threshold vector error-correction model (TVECM) to obtain the information shares of the two parties. While investors' valuations lead financial analysts' valuations in most firms, the reverse is not uncommon. A cross-sectional analysis reveals that analyst forecasts are more valuable for firms with less trading, less uncertainty, and weaker association between prices and earnings.
Keywords: Analyst forecast; Valuation; Information shares; Residual income model (search for similar items in EconPapers)
JEL-codes: G14 G32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:35:y:2015:i:c:p:235-248
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