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Doctoral thesis

Financial analysts, information and market efficiency

    09.10.2012

275 p

Thèse de doctorat: Università della Svizzera italiana, 2012 (jury note: magna cum laude)

Financial analysts
Information
Earnings forecast
Analyst recommendations
Brokers
Market efficiency
Extrapolation hypothesis
Dividends
Signaling
English The first paper (joint with François Degeorge and Roni Michaely) examines the role of brokers in the performance of securities analysts, after taking into account the inherent abilities of the employed analysts. The question we are asking is if working at a large and resourceful Wall Street firm has overall advantages to the analyst, after controlling for an analyst's inherent ability. From the analysis, we have concluded that the effect of working for a large Wall Street firm is weak and in many cases the top firms are detrimental to their analysts' performance. The second paper examines financial analysts’ forecast errors and dispersion with respect to dividend paying firms. I find that the errors and the dispersion for firms that pay ordinary quarterly dividends are lower than for firms that do not. I examine if there is more information or better quality information for dividend paying firms as an explanation for the lower errors and dispersion. The empirical results confirm this hypothesis. In the third paper I use the long-term growth forecasts produced by financial analysts to examine the extrapolation hypothesis. The extrapolation hypothesis states that investors are too optimistic about growth and big firms and too pessimistic about value and small firms, extrapolating the firms’ recent performance. I find that the errors of the forecasts are higher for the growth firms and larger firms, providing thus support to the extrapolation hypothesis.
Language
  • English
Classification
Economics
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https://n2t.net/ark:/12658/srd1318319
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