Premium
A Re‐examination of Analyst Under‐reaction
Author(s) -
Baik Bok,
Lee Su Jeong
Publication year - 2013
Publication title -
asia‐pacific journal of financial studies
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.375
H-Index - 15
eISSN - 2041-6156
pISSN - 2041-9945
DOI - 10.1111/ajfs.12029
Subject(s) - selection (genetic algorithm) , sample (material) , production (economics) , business , psychology , computer science , economics , microeconomics , artificial intelligence , chemistry , chromatography
Prior studies suggest that analysts under‐react to past information (Klein, [Klein, A., 1990]; Abarbanell and Bernard, [Abarbanell, J., 1992]; Easterwood and Nutt, [Easterwood, J., 1999]). 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.