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All Journal Gadjah Mada International Journal of Business
Hyung Ju Park
School of Business Administration, Hanyang University, Korea
Economics, Econometrics & Finance

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Stock Return Synchronicity and Analysts’ Forecast Properties Joong-Seok Cho; Hyung Ju Park; Ji-Hye Park
Gadjah Mada International Journal of Business Vol 18, No 3 (2016): September-December
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (543.264 KB) | DOI: 10.22146/gamaijb.16941

Abstract

Using stock return synchronicity as a measure of a firm’s information environment, our research investigates how the firms’ stock return synchronicity affects analysts’ forecast properties for the accuracy and optimism of the analysts’ annual earnings forecasts. Stock return synchronicity represents the degree to which market and industry information explains firm-level stock return variations. A higher stock return synchronicity indicates the higher quality of a firm’s information environment, because a firm’s stock price reflects more market-level and industry-level information relative to firm-specific information. Our study shows that stock return synchronicity positively affects the forecast properties. Our finding shows that when stock return synchronicity is high, analysts’ annual earnings forecasts are more accurate and less optimistically biased.
Co-Authors Ji-Hye Park Joong-Seok Cho