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The impact of analyst coverage and stock price synchronicity: Evidence from brokerage mergers and closures✰

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  • Gao, Kaijuan
  • Lin, Wanfa
  • Yang, Li
  • Chan, Kam C.

Abstract

We examine the impact of analyst coverage on stock price synchronicity using exogenous shocks of brokerage mergers and closures in a sample of Chinese firms. This approach effectively mitigates endogeneity between analyst coverage and stock price synchronicity. Our findings suggest that after brokerage mergers and closures, the reduced analyst coverage leads to a decrease in stock price synchronicity by using a difference-in-differences research design. Hence, greater analyst coverage likely only produces market-wide rather than firm-specific information in emerging markets.

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  • Gao, Kaijuan & Lin, Wanfa & Yang, Li & Chan, Kam C., 2020. "The impact of analyst coverage and stock price synchronicity: Evidence from brokerage mergers and closures✰," Finance Research Letters, Elsevier, vol. 33(C).
    • Handle: RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300145
    DOI: 10.1016/j.frl.2019.05.008
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    Cited by:

    1. Caglayan, Mustafa Onur & Hu, Yu & Xue, Wenjun, 2021. "Mutual fund herding and return comovement in Chinese equities," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    2. Zhu, Lin & Chen, Qinyuan & Yang, Shengzhi & Yi, Zhihong, 2021. "The role of analysts in negative information production and disclosure: Evidence from short selling deregulation in an emerging market," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 391-406.
    3. Hou, Yunfei & Hu, Changsheng, 2023. "Understanding the role of aggregate analyst attention in resolving stock market uncertainty," Finance Research Letters, Elsevier, vol. 57(C).
    4. Gao, Kaijuan & Shen, Yiran & Chan, Kam C., 2021. "Does analyst following restrain tunneling? Evidence from brokerage closures and mergers," Finance Research Letters, Elsevier, vol. 41(C).
    5. Su, Kun & Zhang, Miaomiao & Liu, Chengyun, 2022. "Financial derivatives, analyst forecasts, and stock price synchronicity: Evidence from an emerging market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).

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    More about this item

    Keywords

    Analyst coverage; Synchronicity; Brokerage mergers and closures;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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