Year-end Sale % OFF 
Abstract
We investigate whether the variation in the level of information availability relates to a performance differential across share prices. Using the number of analyst reports on the stock as proxy, we study twenty countries’ stock markets and find that there exists a positive analyst (un)coverage return in fifteen countries with twelve of them statistically significant. This suggests a premium on stocks which are not followed by analysts. A zero-investment arbitrage strategy that longs the no-coverage stocks and shorts the high-coverage stocks in equal-weighted portfolios generates an average of 0.34% in monthly alpha across the twenty countries studied.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: 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.
