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[Seminar] 財金系 3/5 (一) 上午 10:30 邀請 Hong Kong Polytechnic University 的魏國強教授演講
活動起日:2018-03-05 
發佈日期:2018-02-27 
瀏覽數:189  2018-02-27 更新

本系擬於 3/5 () 邀請 Hong Kong Polytechnic University 的魏國強教授至本所進行專題演講,相關訊息如下:

 

【演講訊息】

時間: 3/5 () 10:30-12:00

地點: 管理學院一號館 402 教室

講者: 魏國強教授

講題: Security Analysts and Capital Market Anomalies

 

Abstract: 

We examine whether analysts utilize information in well-known stock return anomalies when making recommendations. We find results contrary to common intuition that analysts are sophisticated information intermediaries that help improve market efficiency. Specifically, analysts tend to make more favorable recommendations to stocks classified as overvalued (short-leg of anomalies), which have particularly negative abnormal returns ex-post. Moreover, anomalies are useful to identify skilled analysts ex-ante. Analyst recommendations more aligned with anomaly signals are more skilled and elicit greater recommendation announcement returns. Our results suggest that analysts’ biased recommendations could be a source of arbitrage frictions that impede the efficient correction of mispricing.