81
Views
0
CrossRef citations to date
0
Altmetric
Equity Investments

Do Security Analysts Reduce Noise?

&
Pages 40-54 | Published online: 31 Dec 2018

References

  • Alford, A.W., and P.G. Berger. 1999. “A Simultaneous Equations Analysis of Forecast Accuracy, Analyst Following, and Trading Volume.” Journal of Accounting, Auditing & Finance, vol. 14, no. 3 (Summer): 219–240.
  • Amihud, Y., and H. Mendelson. 1987. “Trading Mechanisms and Stock Returns: An Empirical Investigation.” Journal of Finance, vol. 42, no. 3 (July): 533–55310.2307/2328369.
  • Arnott, R.D.. 2005. “What Cost ‘Noise’?” Financial Analysts Journal, vol. 61, no. 2 (March/April): 10–1410.2469/faj.v61.n2.2706.
  • Arnott, R.D., J. Hsu, and P. Moore. 2005. “Fundamental Indexation.” Financial Analysts Journal, vol. 61, no. 2 (March/April): 83–9910.2469/faj.v61.n2.2718.
  • Bhushan, R.. 1989. “Firm Characteristics and Analyst Following.” Journal of Accounting and Economics, vol. 11, no. 2–3 (July): 255–27410.1016/0165-4101(89)90008-6.
  • Black, F.. 1986. “Noise.” Journal of Finance, vol. 41, no. 3 (July): 529–54310.2307/2328481.
  • Brandt, M.W., A. Brav, and J.R. Graham. 2005. “The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?” Working paper, Duke University.
  • Brown, G., and N. Kapadia. 2007. “Firm-Specific Risk and Equity Market Development.” Journal of Financial Economics, vol. 84, no. 2 (May): 358–38810.1016/j.jfineco.2006.03.003.
  • Carhart, M.M.. 1997. “On Persistence in Mutual Fund Performance.” Journal of Finance, vol. 52, no. 1 (March): 57–8210.2307/2329556.
  • Chan, K., and A. Hameed. 2006. “Stock Price Synchronicity and Analyst Coverage in Emerging Markets.” Journal of Financial Economics, vol. 80, no. 1 (April): 115–14710.1016/j.jfineco.2005.03.010.
  • Dechow, P.M., and I.D. Dichev. 2002. “The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors.” Accounting Review, vol. 77: 35–5910.2308/accr.2002.77.s-1.35.
  • DeLong, J.B., A. Shleifer, L.H. Summers, and R.J. Waldmann. 1990. “Noise Trader Risk in Financial Markets.” Journal of Political Economy, vol. 98, no. 4 (August): 703–73810.1086/261703.
  • Dhiensiri, N., A. Sayrak, and P. Zarowin. 2005. “The Impact of Analyst Coverage Initiation on the Market’s Ability to Anticipate Future Earnings.” Working paper, New York University.
  • Durnev, A., R. Morck, and B. Yeung. 2004. “Value-Enhancing Capital Budgeting and Firm-Specific Stock Return Variation.” Journal of Finance, vol. 59, no. 1 (February): 65–10510.1111/j.1540-6261.2004.00627.x.
  • Durnev, A., R. Morck, B. Yeung, and P. Zarowin. 2003. “Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?” Journal of Accounting Research, vol. 41, no. 5 (December): 797–83610.1046/j.1475-679X.2003.00124.x.
  • Fama, E., and K. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics, vol. 33, no. 1 (February): 3–5610.1016/0304-405X(93)90023-5.
  • Fama, E., and K. French. 1997. “Industry Costs of Equity.” Journal of Financial Economics, vol. 43, no. 2 (February): 153–19310.1016/S0304-405X(96)00896-3.
  • Ferson, W.E., S. Sarkissian, and T.T. Simin. 2003. “Spurious Regressions in Financial Economics?” Journal of Finance, vol. 58, no. 4 (August): 1393–141410.1111/1540-6261.00571.
  • Fink, J., K. Fink, G. Grullon, and J.P. Weston. 2007. “Firm Age and Fluctuations in Idiosyncratic Risk.” Working paper, Rice University.
  • Frazzini, A., and O. Lamont. 2006. “The Earnings Announcement Premium and Trading Volume.” Working paper, University of Chicago.
  • Friedman, M.. 1953. “The Case for Flexible Exchange Rates.” Essays in Positive Economics. Chicago: University of Chicago Press.
  • Goel, A.M., and A.V. Thakor. 2003. “Why Do Firms Smooth Earnings?” Journal of Business, vol. 76, no. 1 (January): 151–19210.1086/344117.
  • Harvey, A.C.. 1980. “On Comparing Regression Models in Levels and First Differences.” International Economic Review, vol. 21: 707–72010.2307/2526363.
  • Irvine, P.J., and J. Pontiff. 2009. “Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition.” Review of Financial Studies, vol. 22, no. 3 (March): 1149–117710.1093/rfs/hhn039.
  • McNichols, M., and P.C. O’Brien. 1997. “Self-Selection and Analyst Coverage.” Journal of Accounting Research, vol. 35: 167–19910.2307/2491460.
  • Morck, R., B. Yeung, and W. Yu. 2000. “The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?” Journal of Financial Economics, vol. 58, no. 1–2: 215–26010.1016/S0304-405X(00)00071-4.
  • Pastor, L., and P. Veronesi. 2005. “Technological Revolutions and Stock Prices.” NBER Working Paper No. 11876 (December).
  • Peress, J.. 2004. “Wealth, Information Acquisition, and Portfolio Choice.” Review of Financial Studies, vol. 17, no. 3 (Fall): 879–91410.1093/rfs/hhg056.
  • Piotroski, J.D., and D.T. Roulstone. 2004. “The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices.” Accounting Review, vol. 79, no. 4 (October): 1119–115110.2308/accr.2004.79.4.1119.
  • Roll, R.. 1988. “R2.” Journal of Finance, vol. 43, no. 3 (July): 541–56610.2307/2328183.
  • Schwartz, R.A., and D.K. Whitcomb. 1977. “Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals.” Journal of Financial and Quantitative Analysis, vol. 12 (June): 291–31310.2307/2330436.
  • Sias, R.W., and L.T. Starks. 1997. “Return Autocorrelation and Institutional Investors.” Journal of Financial Economics, vol. 46, no. 1 (October): 103–13110.1016/S0304-405X(97)00026-3.
  • Stuerke, P.S.. 2005. “Financial Analysts as Users of Accounting Information: Evidence about Forecast Revision Activity after Earnings Announcements.” International Journal of Managerial Finance, vol. 1, no. 1: 8–2410.1108/17439130510584856.
  • Teoh, S.H., I. Welch, and T.J. Wong. 1998. “Earnings Management and the Long-Run Market Performance of Initial Public Offerings.” Journal of Finance, vol. 53, no. 6 (December): 1935–197410.1111/0022-1082.00079.
  • Teoh, S.H., Y.G. Yang, and Y. Zhang. 2006. “R-Square: Noise or Firm-Specific Information?” Working paper, University of California, Irvine (August).
  • Treynor, J.L.. 2005. “Why Market-Valuation-Indifferent Indexing Works.” Financial Analysts Journal, vol. 61, no. 5 (September/October): 65–6910.2469/faj.v61.n5.2757.
  • Treynor, J.L., and F. Black. 1973. “How to Use Security Analysis to Improve Portfolio Selection?” Journal of Business, vol. 46, no. 1 (January): 66–8610.1086/295508.
  • Veldkamp, L.L.. 2006. “Information Markets and the Comovement of Asset Prices.” Review of Economic Studies, vol. 73, no. 3 (July): 823–84510.1111/j.1467-937X.2006.00397.x.
  • Wooldridge, J.M.. 2001. Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press.
  • Wurgler, J.. 2000. “Financial Markets and the Allocation of Capital.” Journal of Financial Economics, vol. 58, no. 1–2: 187–21410.1016/S0304-405X(00)00070-2.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.