Sell-side analysts and mutual fund managers: Complements or substitutes?

被引:0
作者
Park, Haerang [1 ]
Oh, Byungmin [2 ]
机构
[1] Korea Univ, Coll Global Business, Seoul, South Korea
[2] Meritz Secur, Artificial Intelligence Trading Team, Seoul, South Korea
关键词
Analyst coverage; Mutual fund; Herding; Complementarity; Price reversal; Crash risk; HERD BEHAVIOR; INFORMATION; DISCLOSURE; FORECASTS; IMPACT; MARKET; INVESTORS; COVERAGE; MOMENTUM; CRASHES;
D O I
10.1016/j.jbankfin.2025.107446
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We examine whether analyst coverage and mutual fund trades are complements or substitutes in the course of information incorporation into stock prices. Our empirical evidence indicates that they are complementary. Clustered trades in stocks with low analyst coverage is associated with a subsequent return reversal, which is more pronounced among less actively managed mutual funds. Mutual fund herding under low analyst coverage also amplifies future stock price crash risk through decreased corporate disclosure quality. These negative effects of mutual fund herding are not apparent for stocks with high analyst coverage. To address potential endogeneity concerns, we conduct additional tests using brokerage firm mergers and closures as exogenous shocks to analyst coverage and find consistent results. Our findings highlight the role of analysts in mitigating price-destabilizing herding behavior of mutual funds.
引用
收藏
页数:14
相关论文
共 55 条
[11]   A New Measure of Disclosure Quality: The Level of Disaggregation of Accounting Data in Annual Reports [J].
Chen, Shuping ;
Miao, Bin ;
Shevlin, Terry .
JOURNAL OF ACCOUNTING RESEARCH, 2015, 53 (05) :1017-1054
[12]   Do analysts matter for governance? Evidence from natural experiments [J].
Chen, Tao ;
Harford, Jarrad ;
Lin, Chen .
JOURNAL OF FINANCIAL ECONOMICS, 2015, 115 (02) :383-410
[13]   Sophisticated investors and market efficiency: Evidence from a natural experiment [J].
Chen, Yong ;
Kelly, Bryan ;
Wu, Wei .
JOURNAL OF FINANCIAL ECONOMICS, 2020, 138 (02) :316-341
[14]   Asset fire sales (and purchases) in equity markets [J].
Coval, Joshua ;
Stafford, Erik .
JOURNAL OF FINANCIAL ECONOMICS, 2007, 86 (02) :479-512
[15]   How Active Is Your Fund Manager? A New Measure That Predicts Performance [J].
Cremers, K. J. Martijn ;
Petajisto, Antti .
REVIEW OF FINANCIAL STUDIES, 2009, 22 (09) :3329-3365
[16]   Measuring Mutual Fund Performance with Characteristic Based Benchmarks [J].
Daniel, Kent ;
Grinblatt, Mark ;
Titman, Sheridan ;
Wermers, Russ .
JOURNAL OF FINANCE, 1997, 52 (03) :1217-+
[17]   Institutional Trade Persistence and Long-Term Equity Returns [J].
Dasgupta, Amil ;
Prat, Andrea ;
Verardo, Michela .
JOURNAL OF FINANCE, 2011, 66 (02) :635-653
[18]   The distorting effect of the prudent-man laws on institutional equity investments [J].
DelGuercio, D .
JOURNAL OF FINANCIAL ECONOMICS, 1996, 40 (01) :31-62
[19]   Mutual fund herding and stock price crashes [J].
Deng, Xin ;
Hung, Shengmin ;
Qiao, Zheng .
JOURNAL OF BANKING & FINANCE, 2018, 94 :166-184
[20]   Rational herding in financial economics [J].
Devenow, A ;
Welch, I .
EUROPEAN ECONOMIC REVIEW, 1996, 40 (3-5) :603-615