Analyst valuation and corporate value discovery

Yih Wenn Laih, Hung Neng Lai, Chun An Li

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

This paper examines firm-level valuations by financial analysts and by the market, using a traditional vector error-correction model (VECM) or threshold vector error-correction model (TVECM) to obtain the information shares of the two parties. While investors' valuations lead financial analysts' valuations in most firms, the reverse is not uncommon. A cross-sectional analysis reveals that analyst forecasts are more valuable for firms with less trading, less uncertainty, and weaker association between prices and earnings.

Original languageEnglish
Pages (from-to)235-248
Number of pages14
JournalInternational Review of Economics and Finance
Volume35
DOIs
StatePublished - 1 Jan 2015

Keywords

  • Analyst forecast
  • Information shares
  • Residual income model
  • Valuation

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