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Financial analysts and price discovery
Authors:Michael Aitken  Niall Almeida  Frederick H deB Harris  Thomas H McInish
Institution:University of New South Wales, Sydney, 2052, Australia;Deutsche Bank AG, Sydney, 2000, Australia;Babcock Graduate School of Management, Wake Forest University, Winston-Salem, 27109, USA;Institute for the Study of Security Markets, University of Memphis, Memphis, 38152, USA
Abstract:We show that whether or not a bank/brokerage firm has top‐rated financial analysts and high Wall Street Search rankings for their research is significantly related to that firm's contribution to price discovery, the process by which information is incorporated into stock prices. Our study relates cross‐sectional characteristics of the quality of brokerage research, the asymmetric information environment, and order flow volume to a microstructure measure of price discovery developed by Granger and Gonzalo. We measure analysts’ research quality with an industry‐specific ranking by institutional investors, with an opinion survey of trading desk personnel, and with the number of top 3 analysts across all industries employed by the bank/brokerage firm.
Keywords:Analyst  Research quality  Reputation
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