Analyst Disagreement, Mispricing and Liquidity  

Oleh:

Sadka, Ronnie ; Scherbina, Anna

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 5 (Oct. 2007), page 2367-2404.
Topik: system analyst; analyst disagreement; mispricing; liquidity
Fulltext: p 2367.pdf (215.0KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper documents a close link between mispricing and liquidity by investigating stocks with high analyst disagreement. Previous research finds that these stocks tend to be overpriced, but that prices correct downwards as uncertainty about earninggs is resolved. Our analysis suggests that one reason mispricing has persisted throught the years is that analyst disagreement coincides with high trading costs. We also show that in the crosss - section, te less liquid stocks tend to be more severely overpriced, Additionally, increases in agregate market liquidity accelerate the convergence of prices to fundamentals. As a result, returns of the initially overpriced stocks are negatively correlated with the time series of innovation in aggregate market liquidity.

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