Analysts Herding Propensity
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Analysts Herding Propensity
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Author : Murugappa (Murgie) Krishnan
language : en
Publisher:
Release Date : 2007
Analysts Herding Propensity written by Murugappa (Murgie) Krishnan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
We model and estimate analysts' herding propensity with I/B/E/S annual earnings forecast data. Compared to prior studies, our paper has three unique features. First, we estimate analysts' true posterior beliefs of a firm's earnings assuming rational expectations rather than using analysts' own prior forecasts. Second, we estimate analysts' herding propensity at aggregate and the analyst levels rather than the forecast level. Third, we perform out-of-sample rather than in-sample tests on the usefulness of our herding propensity estimates. We document pervasive herding behavior. At the aggregate level, we find that herding propensity is positively related to forecast horizon and analyst coverage, but negatively related to analysts' general experience and brokerage size. At the analyst level, we find that about 75% (15%) of the analysts in our sample tend to herd (anti-herd). Moreover, our in-sample herding propensity estimates are useful in explaining the cross-sectional variation in analysts' out-of-sample herding behavior and forecast accuracy.
Who Herds Who Doesn T
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Author : Murugappa (Murgie) Krishnan
language : en
Publisher:
Release Date : 2006
Who Herds Who Doesn T written by Murugappa (Murgie) Krishnan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
We build a simple model of analysts' propensity to herd. Using ideas from GMM and simulated method of moments, we estimate an analyst's herding propensity with I/B/E/S forecast data from 1989-2004. We find that, of the analysts whose herding propensity is defined by our model, 85% of them tend to herd while 5% of them tend to stand out from the crowd (i.e., 'anti-herd'). Out-of-sample tests validate our underlying model for analysts' behavior. Further cross-sectional analyses suggest that an analyst tends to herd if she issues less accurate forecasts in the past, has more analysts that issue forecasts before her, a longer forecast horizon, issues forecast less frequently, has less firm-specific experience, more general experience, follows more industries, works for a smaller brokerage house, and follows a firm with less volatile earnings and smaller size.
Global Industrial Diversification And Analyst Herding
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Author : Chansog (Francis) Kim
language : en
Publisher:
Release Date : 2003
Global Industrial Diversification And Analyst Herding written by Chansog (Francis) Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
The study we report examined herding behavior among security analysts in the 1980-98 period. Using panel data, we analyzed the impact of industrial and geographical diversification on herding among analysts. We compared the propensity toward herding of analysts covering domestic companies that are industrially focused and analysts focusing on companies that are diversified geographically and/or industrially. We provide evidence that herding is more pronounced among analysts concentrating on diversified companies. This result is consistent with the notion that herding behavior increases with task difficulty. Our results also show that herding among analysts reduces the market value of companies they cover, which indicates that the market penalizes herding behavior among security analysts. This effect was more pronounced for companies that are industrially and/or geographically diversified.
Herding In Analysts Recommendations
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Author : Bart Frijns
language : en
Publisher:
Release Date : 2018
Herding In Analysts Recommendations written by Bart Frijns and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This study investigates the impact of media on analysts' herding behavior when making stock recommendations. We find three main results. First, we find that analysts herd less when stocks are covered more in the media. Second, when the firm has negative media sentiment, analysts tend to herd more. Third, higher disagreement in the media is associated with a higher tendency to herd among analysts. These findings are robust to the confounding effect of news flows on returns as well as to alternative explanations. In addition, we find that the effect of media on the herding behavior is conditional on analyst characteristics.
Herding Among Security Analysts
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Author : Ivo Welch
language : en
Publisher:
Release Date : 2001
Herding Among Security Analysts written by Ivo Welch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
The paper shows that the buy or sell recommendations of security analysts have a significant positive influence on the recommendations of the next two analysts. This influence can be traced to short-lived information in the most recent revisions. In contrast, the influence of the prevailing consensus is not stronger if the consensus accurately forecasts subsequent stock price movements. This indicates consensus herding consistent with models in which analysts herd based on little information. The consensus also has a stronger influence when market conditions are favorable. The resulting poorer information aggregation could cause bull markets to be intrinsically more quot;fragilequot; (e.g., Bikhchandani et al., J. Political Economy 100(5) (1992) 992-1026).
Do Analysts Herd
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Author : Narasimhan Jegadeesh
language : en
Publisher:
Release Date : 2007
Do Analysts Herd written by Narasimhan Jegadeesh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Investment analysis categories.
This paper develops and implements a new test to investigate whether sell-side analysts herd around the consensus when they make stock recommendations. Our empirical results support the herding hypothesis. Stock price reactions following recommendation revisions are stronger when the new recommendation is away from the consensus than when it is closer to it, indicating that the market recognizes analysts' tendency to herd. We find that analysts from larger brokerages and analysts following stocks with smaller dispersion across recommendations are more likely to herd.
Handbook Of Economic Forecasting
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Author : Graham Elliott
language : en
Publisher: Elsevier
Release Date : 2013-08-23
Handbook Of Economic Forecasting written by Graham Elliott and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-23 with Business & Economics categories.
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
An Empirical Evaluation Of Analysts Herding Behavior Following Regulation Fair Disclosure
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Author : Yaw M. Mensah
language : en
Publisher:
Release Date : 2007
An Empirical Evaluation Of Analysts Herding Behavior Following Regulation Fair Disclosure written by Yaw M. Mensah and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
This study examines whether analysts' forecast revisions exhibited increased herding behavior following the adoption of Regulation Fair Disclosure. A recent model by Arya, Mittendorf, and Narayanamoorthy (2005) projects that one potential consequence of Regulation Fair Disclosure might be increased herding by financial analysts, although previous studies examining the economic consequences of Regulation FD have not found any averse consequence for investors. We examine financial analysts forecasting behavior before and after the adoption of Regulation FD in order to test the Arya et al. model. Our general finding is that increased herding behavior cannot be detected among either the firms most directly impacted by Regulation FD (those which used to hold closed press conferences), or those least affected (firms that used to hold open press conferences or did not hold them).
The Large Cap Portfolio
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Author : Thomas Villalta
language : en
Publisher: John Wiley & Sons
Release Date : 2012-04-12
The Large Cap Portfolio written by Thomas Villalta and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-12 with Business & Economics categories.
The practical guide to finding value and opportunity in large-cap stocks using investor behavior Large-Cap is an abbreviation of the term "large market capitalization" and refers to the stock of publicly traded companies with market capitalization values of roughly more than $10 billion, like Walmart, Microsoft, and Ford. Because of their size, the conventional view is that these companies do not present investors with an ability to be opportunistic. The Large-Cap Portfolio + Website argues that, contrary to popular perceptions, significant opportunities exist in these stocks. Written with a fluency that both the savvy amateur and professional investor will understand, the book fills a void in the market by offering the practitioner a methodology to identify and approach the major assumptions that underlie valuation, with an emphasis on issues that are more relevant to the analysis of large-cap stocks. Full of useful information on how to reap the rewards of stocks that most investors avoid Presents essential insights into understanding stock valuation Includes an actionable chapter devoted to portfolio management Packed with timely instruction, Large-Cap Portfolio gives readers invaluable insights and examples of how to build portfolios that will out-perform broad market benchmarks.
Analyst Herding And Investor Protection
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Author : Alexander Gabriel Kerl
language : en
Publisher:
Release Date : 2018
Analyst Herding And Investor Protection written by Alexander Gabriel Kerl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Using a multi-national dataset, we investigate the herding behaviour of financial analysts. Our results across a range of different countries suggest that analysts consistently deviate from their true forecasts and issue earnings forecasts that are biased by anti-herding. Furthermore, the level of bias (i.e. anti-herding) seems to be systematically higher for forecasts on companies from European countries compared to the US or Japan. We argue that such differences might stem from diverse levels of investor protection and corporate governance as analysts deviate less from true forecasts when the overall information environment is more transparent and company disclosures are of higher quality. Thereby, we proxy investor protection based on the company-level share of institutional ownership as well as country-level investor protection measures. Our results show that increasing levels of investor protection and corporate governance mitigate the anti-herding behaviour. Especially, when companies that are located in high investor protection countries are held by an increasing number of institutional investors, analysts are most reluctant to issue biased forecasts.