分析师羊群效应--是否、为何以及何时？在目标预测价格中发现羊群效应的两种新测试方法

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-12-28 DOI:10.18559/ebr.2023.4.892

Binam Ghimire, Callum Reveley, Savva Shanaev, Humnath Panta

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引用次数: 0

摘要

本研究提出了基于二项相关性和预测误差波动率缩放的两种新的证券分析师羊群效应检验方法，并将其应用于研究 2008-2020 年英国分析师目标价格的羊群效应模式。分析师的估值具有稳健的羊群效应，在不同年份、不同行业、面板固定效应、量化、工具变量回归中，以及在控制乐观主义和保守主义的情况下，结果都是一致的。对于至少有五位分析师跟踪的股票以及法马-弗伦奇分类的多头股票，羊群效应变得非常突出，从而加强了其非虚假性和行为性质。分析师羊群效应在低波动性和不确定性情况下更为明显。

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Analyst herding – whether, why, and when? Two new tests for herding detection in target forecast prices

This study proposes two novel tests for security analyst herding based on binomial correlation and forecast error volatility scaling and applies it to investigate herding patterns in analyst target prices in 2008-2020 in the UK. Analysts robustly herd in their valuations, with results consistent across years, sectors, in panel fixed effect, quantile, instrumental variable regressions, and when controlled for optimism and conservatism. Herding becomes prominent for stocks followed by at least five analysts and towards the long sides of Fama-French sorts, reinforcing its non-spurious and behavioral nature. Analyst herd more strongly subject to low volatility and uncertainty.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.