A Re-Examination of Analyst Underreaction

31 Pages Posted: 1 Oct 2003

See all articles by Bok Baik

Bok Baik

Seoul National University

Date Written: January 2006

Abstract

Prior studies suggest that analysts underreact to past information (Klein 1990; Abarbanell and Bernard 1992; Easterwood and Nutt 1999). I examine whether this underreaction can be attributed to analyst self-selection. Analyst self-selection arises when analysts' information production efforts focus on stocks that analysts expect to perform well. My study suggests that self-selection is responsible, at least in part, for analyst underreaction to past information about the firm's performance.

Suggested Citation

Baik, Bok, A Re-Examination of Analyst Underreaction (January 2006). Available at SSRN: https://ssrn.com/abstract=445680 or http://dx.doi.org/10.2139/ssrn.445680

Bok Baik (Contact Author)

Seoul National University ( email )

Seoul
Kwanak-gu
Seoul, 151-742
Korea, Republic of (South Korea)

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