Do Analysts Disseminate Anomaly Information in China?

56 Pages Posted: 23 May 2023 Last revised: 13 May 2024

See all articles by Fang Qiao

Fang Qiao

University of International Business and Economics (UIBE) - School of Banking and Finance

Date Written: May 14, 2023

Abstract

This study examines whether sell-side analysts can disseminate information consistent with anomaly prescriptions in China. I adopt 192 trading- and accounting-based anomaly signals to identify undervalued and overvalued stocks. Results show that analysts tend to make more (less) favorable recommendations and earnings forecasts for undervalued (overvalued) stocks. Regarding the information content, analyst recommendations and earnings forecasts are consistent with accounting- rather than trading-based information. Additionally, analyst recommendations and earnings forecasts are consistent with anomalies, especially for firms with a relatively poor information environment. These results indicate that Chinese analysts can mitigate anomaly mispricing and improve market efficiency.

Keywords: anomalies, analysts, recommendations, earnings forecasts, market efficiency

JEL Classification: G12, G14, G15

Suggested Citation

Qiao, Fang, Do Analysts Disseminate Anomaly Information in China? (May 14, 2023). Available at SSRN: https://ssrn.com/abstract=4447860 or http://dx.doi.org/10.2139/ssrn.4447860

Fang Qiao (Contact Author)

University of International Business and Economics (UIBE) - School of Banking and Finance ( email )

No.10, Huixindong Street
Chaoyang District
Beijing, 100029
China

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
75
Abstract Views
432
Rank
593,103
PlumX Metrics