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Equity analysts and the market's assessment of risk

Lui, Daphne, Markov, Stanimir and Tamayo, Ane (2012) Equity analysts and the market's assessment of risk. Journal of Accounting Research, 50 (5). pp. 1287-1317. ISSN 0021-8456

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Abstract

The traditional view of equity analysts is that they are a source of new information about future cash flows. We broaden this view by demonstrating that equity analysts are also a substantive source of new information about priced risk. In particular, we document that, when announced, changes in analyst risk ratings distinctly and significantly affect equity returns, and are generally followed by significant changes in Fama-French factor loadings. Also, while less frequent than credit rating changes, equity risk rating changes are timelier, and with a larger overall stock price impact than credit rating changes.

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/%28...
Additional Information: © 2012 University of Chicago on behalf of the Accounting Research Center
Library of Congress subject classification: H Social Sciences > HF Commerce > HF5601 Accounting
Journal of Economic Literature Classification System: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty
Sets: Departments > Accounting
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 05 Nov 2012 11:48
URL: http://eprints.lse.ac.uk/47278/

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