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Is there an analyst (un)coverage premium?

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  • Cevheroğlu-Açar, Merve G.
  • Karahan, Cenk C.
  • Yılmaz, Neslihan

Abstract

We investigate whether the variation in the level of information availability relates to a performance differential across share prices. Using the number of analyst reports on the stock as proxy, we study twenty countries’ stock markets and find that there exists a positive analyst (un)coverage return in fifteen countries with twelve of them statistically significant. This suggests a premium on stocks which are not followed by analysts. A zero-investment arbitrage strategy that longs the no-coverage stocks and shorts the high-coverage stocks in equal-weighted portfolios generates an average of 0.34% in monthly alpha across the twenty countries studied.

Suggested Citation

  • Cevheroğlu-Açar, Merve G. & Karahan, Cenk C. & Yılmaz, Neslihan, 2022. "Is there an analyst (un)coverage premium?," Research in International Business and Finance, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000538
    DOI: 10.1016/j.ribaf.2022.101665
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    More about this item

    Keywords

    Asset Prices; Analyst Coverage; Multifactor Models;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G40 - Financial Economics - - Behavioral Finance - - - General

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