Abstract
ABSTRACT This study constructs a monthly index of skilled analysts (ISA) regarding the coverage by such analysts and explores their predictive ability on the future excess returns of Chinese A-share market. The empirical results reveal that ISA significantly and positively predicts excess stock market returns, with R 2 s of 4.39% and 4.13% in- and out-of-sample respectively, which surpasses the predictive ability of most commonly used economic variables. High ISA precedes a higher investor sentiment index (ISI) and lower idiosyncratic volatility (IVOL) at firm level. The conclusion remains valid after controlling for a series of other predictor variables and performing robustness tests.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.