Financial analysts and price discovery

Michael Aitken; Niall Almeida; Frederick H Deb Harris; Thomas H. McInish

doi:10.1111/j.1467-629X.2007.00235.x

Financial analysts and price discovery

Michael Aitken^*, Niall Almeida, Frederick H Deb Harris, Thomas H. McInish

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

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.

Original language	English
Pages (from-to)	1-24
Number of pages	24
Journal	Accounting and Finance
Volume	48
Issue number	1
DOIs	https://doi.org/10.1111/j.1467-629X.2007.00235.x
Publication status	Published - Mar 2008
Externally published	Yes

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10.1111/j.1467-629X.2007.00235.x

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author = "Michael Aitken and Niall Almeida and Harris, \{Frederick H Deb\} and McInish, \{Thomas H.\}",

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AU - McInish, Thomas H.

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UR - https://www.scopus.com/pages/publications/40149087354

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Financial analysts and price discovery

Abstract

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