Firm Uncertainty and Financial Analysts' Activity

34 Pages Posted: 14 Nov 2010

See all articles by Jean-Gabriel Cousin

Jean-Gabriel Cousin

Université Lille Nord de France - Lille School of Management Research Center (LSMRC)

Eric de Bodt

NHH-Caltech

Michel Levasseur

University of Lille II

Date Written: October 1, 2010

Abstract

Using implied volatility surfaces provided by the Optionmetrics database for the period 2003–2007, this study documents the strong, positive relation between investor perceptions of firm uncertainty and financial analysts’ activity. Granger causality tests reveal that an increase in perceived uncertainty leads to a subsequent increase in financial analysts’ activity, but this increase in activity does not seem to lead to lower firm uncertainty perceptions. The results from a sample of merger and acquisition transactions completed by S&P500 firms confirm a positive relation between firm uncertainty perceptions and financial analysts’ subsequent activity.

Keywords: Financial analysts, Uncertainty, Implied volatility

JEL Classification: G14

Suggested Citation

Cousin, Jean-Gabriel and de Bodt, Eric and Levasseur, Michel G., Firm Uncertainty and Financial Analysts' Activity (October 1, 2010). Available at SSRN: https://ssrn.com/abstract=1707945 or http://dx.doi.org/10.2139/ssrn.1707945

Jean-Gabriel Cousin (Contact Author)

Université Lille Nord de France - Lille School of Management Research Center (LSMRC) ( email )

1 place Déliot - BP381
Lille Cedex, 59020
France
33-3-2090-7606 (Phone)
33-3-2090-7629 (Fax)

Eric De Bodt

NHH-Caltech ( email )

18B AVENUE BECHET
Kraainem, 1950
Belgium
+32 475 24 01 69 (Phone)

HOME PAGE: http://www.edebodt.eu

Michel G. Levasseur

University of Lille II ( email )

Lille Cedex, 59020
France

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