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8/11/2019 Accuracy and Bias of Equity Analysts - Paola de Vincentiis
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< INSERT TABLE 1>
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8/11/2019 Accuracy and Bias of Equity Analysts - Paola de Vincentiis
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8/11/2019 Accuracy and Bias of Equity Analysts - Paola de Vincentiis
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A A., C M.A., 2006. A . A L & EA A M, P 12, ://..//16/12
A P., M M.B., A A.S., 2005. I . J
F E 75. 245282.
B B., L R., MN M., T B., 2001. C ?
S . T J F 56, 531563.
B B.M., L R., MN M., T B., 2006. B, , :
. J A E 41, 87117.
B B.M., L R., T B., 2007. C
. J F E 85,490517.
B M., B S., R S., 2003. T I.W , ://..
B M.T., B L.D., 2006. D
? W , ://..
B A., L R., 2003. A : . T J F 43, 19331967.
B S. Z L., B R., S A., 2008. T .
W , ://..
B S. Z L., B R., S A., 2008. P . W
, ://..
C E.M., D B A.C.F., G S., 2008. E I ( I). B, I S 1, 113139.
C E.M., D B A.C.F., G S., 2005. F ;
. W , ://..
C E.M., D B A.C.F., 2005. A .
W , ://..
C E.M., D B A.C.F, P P., 2007. V :
I . W ,://..
C L.K.C., K J., L J., 2003. A
. NBER W P . 9544, ://..//9544.
C M.B., 1999. A : ,
? J A E 27, 285303.
C A., G B., H P., 2006. W ?J A E 41, 119146.
E Y., S J., S S.V., 2007. M :
. J A R 45,
567606.
8/11/2019 Accuracy and Bias of Equity Analysts - Paola de Vincentiis
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29
F J., S L., 1997. T
. J A R 35, 193211.
H H., K J.D., 2003. A : .
T J F 43, 313351.
K O., M L., W R., Z T., 2008 C : . W
, ://...
L A., M F., S L.T., W K.D, Y H., 2007. C . J F E
85. 420456.
L A, M F., 2009. R , T J F 64,19351960.
J A.R., 2005. T , . T J F
60, 673717.
J N. K W., 2006. V : . J
F M 9, 274309.
M R., W K., 1999. C
. T R F S 12, 653686.
M R., W K, 2005. M , T R.H. (), A , II, P U P.
M M.B., W B., W R.H., 1997. D
? J A R 35, 131157.
M M.B., W B., W R.H., 1999. D ?
T A R 74, 185200.
M M.B., W B., W R.H., 2004. D
? J F E 74, 6791.
S P., B L., D S., 1997. A
. C A R 14, 142.
S S.E., 1992. R . T J F47, 18111836.
W K.L., 1996. D ? T
J F 51, 137167.
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31
2: (J
2004 M 2007)T . T A
. T ( ) . M I. T ( J. 2004 D. 2006) . P B , ( )
. T T/M .
,
N T # %
A #
M # ,
AB D 73 0.89% 12.33 5.92
ABN A I 37 0.45% 5.33 6.94A D 78 0.96% 19.33 4.03
B A D 462 5.66% 41.33 11.18
B A D 19 0.23% 1.67 11.40
B F I 6 0.07% 2 3
B L D 496 6.08% 30.33 16.35
BNP P I 10 0.12% 0.67 15
C D 528 6.47% 43.33 12.18
C I 24 0.29% 5 4.80
C D 311 3.81% 32 9.72
C I 86 1.05% 23 3.74
C I 384 4.71% 27.67 13.88
CSFB I 81 0.99% 10 8.10
D B I 1,029 12.61% 36.67 28.06
D I 23 0.28% 4.33 5.31
E D 821 10.06% 53.67 15.30E BNP P I 24 0.29% 4.67 5.14
G S I 155 1.90% 13 11.92
ING I 202 2.48% 20.67 9.77
I D 761 9.33% 43.33 16.79
JP M I 57 0.70% 7.33 7.77
K I 139 1.70% 26.67 5.21
L B I 242 2.97% 18.67 12.96
M D 236 2.89% 36.33 6.50
M L I 390 4.78% 26.67 14.63
R D 308 3,78% 30 10.27
UBM D 605 7.42% 40.67 14.88
UBS I 361 4.43% 31.33 11.52
W D 209 2.56% 37 5.65
T 8,157 100%
T
4,907 60.61%
M 271.9 22.90 10.26
T 5 T : 3,744P : 45.90%A : 748.8M : 43.93M , : 17.44
T 10 T : 5,837
P : 71.56%A : 583.7M : 37.70M , : 15.48
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O
M
N #
N. N.
N. N.
%
A
T/M
AB 73 37 0 21 16 50.68% 1.13
ABN A 37 24 0 0 24 64.86% 1.34
A 78 47 1 10 37 61.54% 1.28
B A 462 192 57 74 118 53.90% 1.24
B A 19 11 0 3 8 57.89% 1.22
B F 6 3 0 2 1 50.00% 1.13
B L 496 199 0 46 153 40.12% 1.22
BNP P 10 9 0 0 9 90.00% 1.50
C 528 149 71 50 99 41.67% 1.25
C 24 13 0 0 13 54.17% 1.40
C 311 155 0 28 127 49.84% 1.32
C 86 69 0 12 57 80.23% 1.32
C 384 223 0 78 145 58.07% 1.19
CSFB 81 41 0 4 37 50.62% 1.33
D B 1,029 624 1 124 500 60.74% 1.32
D 23 15 0 0 15 65.22% 1.39
E 821 360 202 94 266 68.45% 1.30
E BNP P 24 17 0 2 15 70.83% 1.31
G S 155 72 0 31 41 46.45% 1.18
ING 202 109 0 21 88 53.96% 1.26
I 761 367 116 44 323 63.47% 1.31
JP M 57 38 0 12 26 66.67% 1.20
K 139 107 0 33 74 76.98% 1.27
L B 242 138 0 36 102 57.02% 1.26M 236 157 0 37 120 66.53% 1.28
M L 390 288 0 106 182 73.85% 1.23
R 308 140 6 34 106 47.40% 1.22
UBM 605 260 91 103 157 58.02% 1.24
UBS 361 122 0 11 111 33.80% 1.23
W 209 103 31 20 83 64.11% 1.33
O 8,157 4,089 576 1,036 3,053 57.19% 1,27
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3:
T . I : ) ( 2 ), T/M; ) , T/T1
T/M T/T1
# O 8,157 7,073
M 1.269 0.0358
M 5.506 3.48
75 1.339 0.0538
M 1.219 0
25 1.117 0
M 0.308 0.8730
S. D. 0.315 0.1392
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4: T .T (B C ) BI
, , , . T (, , ). T , 10 .
O S S %
N. ( 31D. 2007) 275 79 28.73
T ( . E, 2007) 254,263 206,887 81.37
C ( . E, 31D. 2007) 874,502 775,507 88,68
N. I (J 2004 M 2007) 49 11 22.45
S I S F
N. 23 27 28
% 29.11 34.18 35.44
C ( . E, 31D. 2007) 161,475 279,983 393,056
% 18.46 32.02 44.94
N. 2,787 3,239 2,131
%
S 10
S T 10 %
N. 2,471 8,157 30.29
C ( . E, 31D. 2007 366,518 874,502 41.91
T ( . E, 2007) 135,322 254,263 53.22
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5: / 2
T (P A)
(P B). I , () T/M2 1.20 ( 0.8) ( ). T 5 3 . TPE12 , [(TM +365)/M2. A TPE12 ( ). TPE12 TPE12. TPE ( T/M2 1 ) ( T/M2 1) , [(TM/)/M2.TPE TPE. AC5
. I 1 10% [T (10,05)< M+365 < T (1+0,05). AC10 , 1 20% [T (10,1)< M+365 < T (1+0,1).
/ 2
T/M2
T/M2 AF5 AF10 TPE12AV TPEANYAV TPE12 TPEANY
1 1.0153 0.1550 0.2908 0.2766 0.2147 0.1458 0.1572
2 1.1684 0.1985 0.3706 0.2296 0.2061 0.0025 0.1556
3 1.2738 0.1908 0.3556 0.2333 0.1951 0.061 0.0487
4 1.6168 0.070 0.1638 0.4668 0.3793 0.4031 0.2864
O 1.268 0.1536 0.2952 0.3016 0.2488 0.0733 0.0188
( )
R AF5 AF10 TPE12AV TPEANYAV TPE12 TPEANY
S B 0.1342 0.2673 0.3446 0.3752 0.2459 0.0998
B 0.1892 0.3378 0.2502 0.2534 0.1476 0.0222
N 0.1704 0.3204 0.2638 0.2346 0.0151 0.0961
/>1
0.1700 0.3234 0.2615 0.2478 0.0024 0.1151
/
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6:
T (TPE12AV)
1,000 (TPE12AVS). T ( = 0; = 1).
# 12A 12A S
AB 73 0,463309694 0,376866065 0,086443629 1,3702
AB A 37 0,34772183 0,290323534 0,057398296 0,7876
A 78 0,319252703 0,271902092 0,047350611 1,1845
B A 462 0,355598198 0,306113744 0,049484453 2,2896 *
B A 19 0,317753428 0,299267994 0,018485433 0,3657
B 6 0,339387819 0,166445956 0,172941863 1,7527 *
B 502 0,281237077 0,242127818 0,039109259 2,9021 **
B 10 0,349229839 0,305350283 0,043879556 0,8926
C 527 0,341845922 0,317374494 0,024471428 1,4138
C 24 0,291735905 0,298461292 0,006725387 0,1250
C 311 0,285865711 0,29963138 0,013765669 0,6817
C 86 0,335955658 0,347783621 0,011827963 0,2563
C 384 0,299608467 0,229426957 0,07018151 4,8845 **
CB 82 0,309866729 0,28509646 0,024770269 0,7728
B 1029 0,312256995 0,359530614 0,047273619 3,9024 ** 23 0,263124307 0,255166726 0,007957581 0,1584
821 0,350537297 0,291741724 0,058795573 4,7567 **
24 0,289367285 0,239536868 0,049830417 0,8779
155 0,30085343 0,28472426 0,01612917 0,7504
202 0,326434672 0,261154691 0,065279981 3,1564 **
761 0,369885966 0,348611325 0,021274641 1,1841
57 0,31972327 0,259134044 0,060589226 1,8124
139 0,305921409 0,263826545 0,042094864 1,4329
B 242 0,320669078 0,263309403 0,057359675 2,6828 **
236 0,358076263 0,309742009 0,048334254 1,8319 390 0,321567686 0,257617493 0,063950192 4,0670 **
308 0,333974797 0,280595681 0,053379116 2,4436 **
B 605 0,36230475 0,300533694 0,061771056 3,2472 **
B 361 0,338228652 0,300003092 0,03822556 2,3567 **
209 0,400359419 0,34732401 0,053035408 1,3226
8,157 0,3345 0,3016 0,0329 7,4139 **
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7:
T . T 13 . I (TPEANYVA P A, AC10 P B). T 3 : 5 , 5 , 5 .
F , . I 2 . T P . T T TB. *: < 0.05; **: < 0.01.
TPEANYAV TPEANYAV AC10 AC5 TPEANY
Q Q +1 Q +1 Q +1 Q +1T 5 0.1435 0.2125 0.3124 0.1293 0.0111S 5 0.1939 0.2026 0.3373 0.1435 0.0411B 5 0.3481 0.2588 0.2541 0.1298 0.0326A 0.2292
D. T B 0.2046**
(7,18)
0.046*
(2,05)
0.058
(1,19)
0.0005
(0,72)
0.0215
(0,054)
10
AC10 AC10 TPEANYAV TPEANY AC5Q Q +1 Q +1 Q +1 Q +1
T 5 0.5127 0.3222 0.2334 0.0411 0.4237S 5 0.3506 0.3181 0.2096 0.0410 0.2655
B 5 0.1074 0.2536 0.2209 0.0435 0.4330A 0.3036
D. T B 0.4053**(9,46)
0.0685(1,33)
0.0125(0,38)
0.00233(0,51)
0.0092(0,054)
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8:
: T OLS :
;;;;COVAGE;COVSCOPEDEVST;;TPMP;;TPERROR +++++=
:TPERROR;;: , , ; TPMP;;: (TP) 2 (MP2); DEVST: 60 ; COVSCOPEJ;: ; COVAGE;;: ( , ) , ; ;;: . T T
. *: < 0.05; **: < 0.01.
12
I (1) (2) (3) (4)I 0,536**
(41.07)0.542**(32.27)
0.572 **(42.99)
0.561**(39.51)
TPMP 0.522**(59.35)
0.520**(58.99)
0.579 **(64.58)
0.579(63.92)
DEVST 10.504**(20.16)
10.022**(19.36)
11.862 **(22.35)
11.713 *(22.02)
COVSCOPE 0.0062**(4.36)
0.003 *(1.93)
COVAGE 0.002**(2.30)
0.001(0.73)
A R2 0.3315 0.3386 0.3708 03743SER 0.2478 0.2426 02524 0.2992
N. 7,877 7,595 7,877 7,595
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: T OLS :
;;;;COVAGE;COVSCOPEDEVST;;TPMP;;TPERROR +++++=
: TPERROR;;: (TPEANY P A
TPE12 P B) , , ; TPMP ;;: (TP) 2 (MP 2);DEVST: 60 ; COVSCOPEJ;: ; COVAGE;;: ( , ) , ; ;; : . T T . *: < 0.05; **: < 0.01.
12
I (1) (2) (3) (4)I 0.957 **
(60.26)0.942
(58.18)1.050 **(62.05)
1.027 **(57.16)
TPMP 0.787 **(73.53)
0.789(73.78)
0.907 **(79.54)
0.912(79.51)
DEVST 5.30**(8.37)
4.594**(7.31)
2.42 **(3.58)
1.890 **(2.81)
COVSCOPE 0.012**(6.91)
0.016 **(8.41)
COVAGE 0.005**(5.21)
0.006**(6.07)
A R2 0.4106 0.4256 0.4461 0.4574SER 0.3013 0.2945 0.3213 0.3155
N. 7,877 7,595 7,877 7,595
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: T OLS :
;;ACTTRACTIB
;;COVAGE;COVSCOPEDEVST;;TPMP;;TPERROR
+++
+++++=
: TPERROR,TPMP, DEVST, COVSCOPE, COVAGE: T 8;TRADINGACT: , A ; IBACT: IPO I 20032007; ;; :
. T T . *: