On the efficiency contributions of analyst recommendations to financial markets

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2025-09-01 DOI:10.1016/j.finmar.2025.100985

Youngmin Choi , Suzanne S. Lee

引用次数: 0

Abstract

We focus on the fundamental role of security analysts as information intermediaries using recent advances in the realized variance literature. We construct a signal-to-noise volatility ratio to examine the heterogeneity in the efficiency contributions of analysts’ recommendations while controlling for the noise contained in price data. We find that only analysts’ revisions with greater efficiency contributions generate significant stock price reactions in the directions expected by the analysts. Furthermore, these revisions increase the degree of informed trading in the options market and reduce the uncertainty related to the covered firms.

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论分析师建议对金融市场的效率贡献

我们将重点放在证券分析师作为信息中介的基本角色上，使用最新进展的已实现方差文献。我们构建了一个信噪比来检验分析师建议的效率贡献的异质性，同时控制价格数据中包含的噪声。我们发现，只有效率贡献更大的分析师修正才会在分析师预期的方向上产生显著的股价反应。此外，这些修订增加了期权市场的知情交易程度，减少了与被覆盖公司相关的不确定性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.