INFORMATION ASYMMETRY AND ANALYST FORECAST IN MARKETWIDE INVESTOR SENTIMENT

http://dx.doi.org/10.31703/ger.2022(VII-II).05      10.31703/ger.2022(VII-II).05      Published : Jun 2
Authored by : Safyan Majid , MuhammadAwais , Javed Iqbal

05 Pages : 45-57

References

  • Akerlof, G. A. (1978). The market for “lemons”: Quality uncertainty and the market mechanism. In Uncertainty in economics 235-251. Elsevier.
  • Ali, A., Klein, A., & Rosenfeld, J. (1992). Analysts' use of information about permanent and transitory earnings components in forecasting annual EPS. Accounting review, 183-198.
  • Amiram, D., Owens, E., & Rozenbaum, O. (2016). Do information releases increase or decrease information asymmetry? New evidence from analyst forecast announcements. Journal of accounting and economics, 62(1), 121-138.
  • Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2016). Investor sentiment, beta, and the cost of equity capital. Management science, 62(2), 347-367.
  • Bagnoli, M., Clement, M. B., Crawley, M. J., & Watts, S. G. (2009). The profitability of analysts’ stock recommendations: What role does investor sentiment play? Available at SSRN 1430617.
  • Baker, H. K., & Nofsinger, J. R. (2002). Psychological biases of investors. Financial services review, 11(2), 97-116.
  • Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. The journal of Finance, 61(4), 1645-1680.
  • Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of economic perspectives, 21(2), 129-152.
  • Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of financial economics, 104(2), 272-287.
  • Bandopadhyaya, A., & Jones, A. L. (2006). Measuring investor sentiment in equity markets. Journal of Asset Management, 7(3), 208-215.
  • Barberis, N., & Thaler, R. (2003). Behavioral finance. George M. Constan.
  • Barberis, N., & Thaler, R. (2005). A survey of behavioral finance. Princeton University Press.
  • Batchelor, R., & Dua, P. (1991). Blue Chip rationality tests. Journal of Money, Credit and Banking, 23(4), 692-705.
  • Ben-Rephael, A., Kandel, S., & Wohl, A. (2012). Measuring investor sentiment with mutual fund flows. Journal of financial economics, 104(2), 363-382.
  • Berkman, H., & Yang, W. (2019). Country-level analyst recommendations and international stock market returns. Journal of Banking & Finance, 103, 1-17.
  • Black, B. S., & Gilson, R. J. (1998). Venture capital and the structure of capital markets: banks versus stock markets. Journal of financial economics, 47(3), 243-277.
  • Black, F. (1986). Noise. The journal of Finance, 41(3), 528-543.
  • Blackwell, D., & Dubins, L. (1962). Merging of opinions with increasing information. The Annals of Mathematical Statistics, 33(3), 882-886.
  • Bodenhausen, G. V., Kramer, G. P., & Süsser, K. (1994). Happiness and stereotypic thinking in social judgment. Journal of personality and social psychology, 66(4), 621.
  • Botosan, C. A. (1997). Disclosure level and the cost of equity capital. Accounting review, 323-349.
  • Boussaidi, R. (2013). Overconfidence bias and overreaction to private information signals: the case of Tunisia. Procedia- Social and Behavioral Sciences, 81, 241- 245.
  • Brennan, M. J., & Subrahmanyam, A. (1995). Investment analysis and price formation in securities markets. Journal of financial economics, 38(3), 361-381.
  • Brown, G. W. (1999). Volatility, sentiment, and noise traders. Financial Analysts Journal, 55(2), 82-90.
  • Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stockmarket. Journal of empirical finance, 11(1), 1-27.
  • Brown, G. W., & Cliff, M. T. (2005). Investor sentiment and asset valuation. The Journal of Business, 78(2), 405-440.
  • Brown, L. D., & Mohd, E. (2003). The predictive value of analyst characteristics. Journal of Accounting, Auditing & Finance, 18(4), 625-647.
  • Bu, H., & Pi, L. (2014). Does investor sentiment predict stock returns? The evidence from Chinese stock market. Journal of Systems Science and Complexity, 27(1), 130-143.
  • Chung, K. H., & Pruitt, S. W. (1994). A simple approximation of Tobin's q. Financial management, 70-74.
  • Clement, M. B., Koonce, L., & Lopez, T. J. (2007). The roles of task-specific forecasting experience and innate ability in understanding analyst forecasting performance. Journal of accounting and economics, 44(3), 378-398.
  • Clement, M. B., & Tse, S. Y. (2005). Financial analyst characteristics and herding behavior in forecasting. The journal of Finance, 60(1), 307-341.
  • Dreman, D. N., & Berry, M. A. (1995). Overreaction, underreaction, and the low-P/E effect. Financial Analysts Journal, 51(4), 21-30.
  • Drobetz, W., Grüninger, M. C., & Hirschvogl, S. (2010). Information asymmetry and the value of cash. Journal of Banking & Finance, 34(9), 2168-2184.
  • Easterwood, J. C., & Nutt, S. R. (1999). Inefficiency in analysts' earnings forecasts: Systematic misreaction or systematic optimism? The journal of Finance, 54(5), 1777-1797.
  • Elton, E. J., Gruber, M. J., & Gultekin, M. N. (1984). Professional expectations: Accurary and diagonosis of errors. Journal of financial and quantitative analysis, 19(4), 351-363.
  • Fosu, S., Danso, A., Ahmad, W., & Coffie, W. (2016). Information asymmetry, leverage and firm value: Do crisis and growthmatter? International Review of Financial Analysis, 46, 140-150.
  • Frankel, R., & Li, X. (2004). Characteristics of a firm's information environment and the information asymmetry between insiders and outsiders. Journal of accounting and economics, 37(2), 229-259.
  • Garcia, D. (2013). Sentiment during recessions. The journal of Finance, 68(3), 1267-1300.
  • Green, T. C., Jame, R., Markov, S., & Subasi, M. (2014). Access to management and the informativeness of analyst research. Journal of financial economics, 114(2), 239-255.
  • Gu, Z., & Wu, J. S. (2003). Earnings skewness and analyst forecast bias. Journal of accounting and economics, 35(1), 5-29.
  • Gupta, R., Suleman, T., & Wohar, M. E. (2019). Exchange rate returns and volatility: the role of time-varying rare disaster risks. The European Journal of Finance, 25(2), 190-203.
  • Harris, M., & Raviv, A. (1991). The theory of capital structure. The journal of Finance, 46(1), 297-355.
  • Hirshleifer, D. (2001). Investor psychology and asset pricing. The journal of Finance, 56(4), 1533-1597.
  • Hong, H., & Kubik, J. D. (2003). Analyzing the analysts: Career concerns and biased earnings forecasts. The journal of Finance, 58(1), 313-351.
  • Howe, J. S., Unlu, E., & Yan, X. (2009). The predictive content of aggregate analyst recommendations. Journal of Accounting Research, 47(3), 799-821.
  • Hribar, P., & McInnis, J. (2012). Investor sentiment and analysts' earnings forecast errors. Management science, 58(2), 293- 307.
  • Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015). Investor sentiment aligned: A powerful predictor of stock returns. The review of financial studies, 28(3), 791-837.
  • Hurwitz, H. (2018). Investor sentiment and management earnings forecast bias.Journal of business finance & accounting, 45(1-2), 166-183.
  • Ilomäki, J., & Laurila, H. (2018). The Noise Trader Effect in a Walrasian Financial Market. Advances in Decision Sciences, 22, 1-14.
  • Jackson, A. R. (2005). Trade generation, reputation, and sell-side analysts. The journal of Finance, 60(2), 673-717.
  • Jiang, F., Lee, J., Martin, X., & Zhou, G. (2019). Manager sentiment and stock returns. Journal of financial economics, 132(1), 126-149.
  • Karlsson, N., Loewenstein, G., & Seppi, D. (2009). The ostrich effect: Selective attention to information. Journal of Risk and uncertainty, 38(2), 95-115.
  • Kecskés, A., Michaely, R., & Womack, K. L. (2017). Do earnings estimates add value to sell-side analysts’ investment recommendations? Management science, 63(6), 1855-1871.
  • Kim, K., Ryu, D., & Yang, H. (2019). Investor sentiment, stock returns, and analyst recommendation changes: The KOSPI stock market. Investment Analysts Journal, 48(2), 89-101.
  • Kim, Y., Lobo, G. J., & Song, M. (2011). Analyst characteristics, timing of forecast revisions, and analyst forecasting ability. Journal of Banking & Finance, 35(8), 2158-2168.
  • Krishnaswami, S., & Subramaniam, V. (2000). The impact of capital structure on efficient sourcing and strategic behavior. Financial Review, 35(4), 9-30.
  • Kumar, Y., Chaturvedula, C., Rastogi, N., & Bang, N. P. (2009). Impact of analyst recommendations on stock prices. IUP Journal of Applied Finance, 15(4), 39.
  • Kurov, A. (2008). Investor sentiment, trading behavior and informational efficiency in index futures markets. Financial Review, 43(1), 107-127.
  • Lee, W. Y., Jiang, C. X., & Indro, D. C. (2002). Stock ma Journal of Banking & Finance, 26(12), 2277-2299.rket volatility, excess returns, and the role of investor sentiment.
  • Lo, A. W. (2004). The adaptive markets hypothesis. The Journal of Portfolio Management, 30(5), 15-29.
  • Loh, R. K. (2010). Investor inattention and the underreaction to stock recommendations. Financial management, 39(3), 1223-1252.
  • Loh, R. K., & Stulz, R. M. (2011). When are analyst recommendation changes influential? The review of financial studies, 24(2), 593-627.
  • Lys, T., & Sohn, S. (1990). The association between revisions of financial analysts' earnings forecasts and security-price changes. Journal of accounting and economics, 13(4), 341-363.
  • Maury, B., & Pajuste, A. (2005). Multiple large shareholders and firm value. Journal of Banking & Finance, 29(7), 1813-1834.
  • Mikhail, M. B., Walther, B. R., & Willis, R. H. (1997). Do security analysts improve their performance with experience? Journal of Accounting Research, 35, 131-157.
  • Mikhail, M. B., Walther, B. R., & Willis, R. H. (2003). The effect of experience on security analyst underreaction. Journal of accounting and economics, 35(1), 101- 116.
  • Miwa, K. (2016). Investor sentiment, stock mispricing, and long-term growth expectations. Research in international business and finance, 36, 414-423.
  • Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American economic review, 48(3), 261-297.
  • Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of financial economics, 13(2), 187-221.
  • Neal, R., & Wheatley, S. M. (1998). Do measures of investor sentiment predict returns? Journal of financial and quantitative analysis, 33(4), 523-547.
  • Nissani, M. (1994). Conceptual conservatism: An understated variable in human affairs? The Social Science Journal, 31(3), 307- 318.
  • Pargendler, M. (2011). State ownership and corporate governance. Fordham L. Rev., 80, 2917.
  • Park, J., & Banaji, M. R. (2000). Mood and heuristics: the influence of happy and sad states on sensitivity and bias in stereotyping. Journal of personality and social psychology, 78(6), 1005.
  • Pojarliev, M., & Levich, R. M. (2011). Detecting crowded trades in currency funds. Financial Analysts Journal, 67(1), 26-39.
  • Qiang, Z., & Shu-e, Y. (2009). Noise trading, investor sentiment volatility, and stock returns. Systems Engineering-Theory & Practice, 29(3), 40-47.
  • Rabelo, F. M., & Vasconcelos, F. C. (2002). Corporate governance in Brazil. Journal of business ethics, 37(3), 321-335.
  • Ross, S. A. (1977). The determination of financial structure: the incentive- signalling approach. The bell journal of economics, 23-40.
  • Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of empirical finance, 16(3), 394-408.
  • Shan, L., & Gong, S. X. (2012). Investor sentiment and stock returns: Wenchuan Earthquake. Finance Research Letters, 9(1), 36-47.
  • Shefrin, H., & Statman, M. (1994). Behavioral capital asset pricing theory. Journal of financial and quantitative analysis, 29(3), 323-349.
  • Shen, J., Yu, J., & Zhao, S. (2017). Investor sentiment and economic forces. Journal of Monetary Economics, 86, 1-21.
  • Shiller, R. J. (1981). Alternative tests of rational expectations models: The case of the term structure. Journal of Econometrics, 16(1), 71-87.
  • Shleifer, A., & Vishny, R. W. (1997). A survey of corporate governance. The journal of Finance, 52(2), 737-783.
  • Sias, R., Turtle, H. J., & Zykaj, B. (2016). Hedge fund crowds and mispricing. Management science, 62(3), 764-784.
  • Stickel, S. E. (1992). Reputation and performance among security analysts. The journal of Finance, 47(5), 1811-1836.
  • Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The journal of Finance, 62(3), 1139-1168.
  • Uygur, U., & TaÅŸ, O. (2014). The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange. Borsa Istanbul Review, 14(4), 236-241.
  • Venkatesh, P., & Chiang, R. (1986). Information asymmetry and the dealer's bid-ask spread: A case study of earnings and dividend announcements. The journal of Finance, 41(5), 1089-1102.
  • Walther, B. R., & Willis, R. H. (2013). Do investor expectations affect sell-side analysts’ forecast bias and forecast accuracy? Review of Accounting Studies, 18(1), 207-227.
  • Wang, W. (2020). Institutional investor sentiment, beta, and stock returns. Finance Research Letters, 37, 101374.
  • Wen, F., Xu, L., Ouyang, G., & Kou, G. (2019). Retail investor attention and stock price crash risk: evidence from China. International Review of Financial Analysis, 65, 101376.
  • Yu, J., & Yuan, Y. (2011). Investor sentiment and the mean–variance relation. Journal of financial economics, 100(2), 367-381.
  • Zhou, H. (2018). Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty. Annual Review of Financial Economics, 10, 481- 497.
  • Akerlof, G. A. (1978). The market for “lemons”: Quality uncertainty and the market mechanism. In Uncertainty in economics 235-251. Elsevier.
  • Ali, A., Klein, A., & Rosenfeld, J. (1992). Analysts' use of information about permanent and transitory earnings components in forecasting annual EPS. Accounting review, 183-198.
  • Amiram, D., Owens, E., & Rozenbaum, O. (2016). Do information releases increase or decrease information asymmetry? New evidence from analyst forecast announcements. Journal of accounting and economics, 62(1), 121-138.
  • Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2016). Investor sentiment, beta, and the cost of equity capital. Management science, 62(2), 347-367.
  • Bagnoli, M., Clement, M. B., Crawley, M. J., & Watts, S. G. (2009). The profitability of analysts’ stock recommendations: What role does investor sentiment play? Available at SSRN 1430617.
  • Baker, H. K., & Nofsinger, J. R. (2002). Psychological biases of investors. Financial services review, 11(2), 97-116.
  • Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. The journal of Finance, 61(4), 1645-1680.
  • Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of economic perspectives, 21(2), 129-152.
  • Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of financial economics, 104(2), 272-287.
  • Bandopadhyaya, A., & Jones, A. L. (2006). Measuring investor sentiment in equity markets. Journal of Asset Management, 7(3), 208-215.
  • Barberis, N., & Thaler, R. (2003). Behavioral finance. George M. Constan.
  • Barberis, N., & Thaler, R. (2005). A survey of behavioral finance. Princeton University Press.
  • Batchelor, R., & Dua, P. (1991). Blue Chip rationality tests. Journal of Money, Credit and Banking, 23(4), 692-705.
  • Ben-Rephael, A., Kandel, S., & Wohl, A. (2012). Measuring investor sentiment with mutual fund flows. Journal of financial economics, 104(2), 363-382.
  • Berkman, H., & Yang, W. (2019). Country-level analyst recommendations and international stock market returns. Journal of Banking & Finance, 103, 1-17.
  • Black, B. S., & Gilson, R. J. (1998). Venture capital and the structure of capital markets: banks versus stock markets. Journal of financial economics, 47(3), 243-277.
  • Black, F. (1986). Noise. The journal of Finance, 41(3), 528-543.
  • Blackwell, D., & Dubins, L. (1962). Merging of opinions with increasing information. The Annals of Mathematical Statistics, 33(3), 882-886.
  • Bodenhausen, G. V., Kramer, G. P., & Süsser, K. (1994). Happiness and stereotypic thinking in social judgment. Journal of personality and social psychology, 66(4), 621.
  • Botosan, C. A. (1997). Disclosure level and the cost of equity capital. Accounting review, 323-349.
  • Boussaidi, R. (2013). Overconfidence bias and overreaction to private information signals: the case of Tunisia. Procedia- Social and Behavioral Sciences, 81, 241- 245.
  • Brennan, M. J., & Subrahmanyam, A. (1995). Investment analysis and price formation in securities markets. Journal of financial economics, 38(3), 361-381.
  • Brown, G. W. (1999). Volatility, sentiment, and noise traders. Financial Analysts Journal, 55(2), 82-90.
  • Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stockmarket. Journal of empirical finance, 11(1), 1-27.
  • Brown, G. W., & Cliff, M. T. (2005). Investor sentiment and asset valuation. The Journal of Business, 78(2), 405-440.
  • Brown, L. D., & Mohd, E. (2003). The predictive value of analyst characteristics. Journal of Accounting, Auditing & Finance, 18(4), 625-647.
  • Bu, H., & Pi, L. (2014). Does investor sentiment predict stock returns? The evidence from Chinese stock market. Journal of Systems Science and Complexity, 27(1), 130-143.
  • Chung, K. H., & Pruitt, S. W. (1994). A simple approximation of Tobin's q. Financial management, 70-74.
  • Clement, M. B., Koonce, L., & Lopez, T. J. (2007). The roles of task-specific forecasting experience and innate ability in understanding analyst forecasting performance. Journal of accounting and economics, 44(3), 378-398.
  • Clement, M. B., & Tse, S. Y. (2005). Financial analyst characteristics and herding behavior in forecasting. The journal of Finance, 60(1), 307-341.
  • Dreman, D. N., & Berry, M. A. (1995). Overreaction, underreaction, and the low-P/E effect. Financial Analysts Journal, 51(4), 21-30.
  • Drobetz, W., Grüninger, M. C., & Hirschvogl, S. (2010). Information asymmetry and the value of cash. Journal of Banking & Finance, 34(9), 2168-2184.
  • Easterwood, J. C., & Nutt, S. R. (1999). Inefficiency in analysts' earnings forecasts: Systematic misreaction or systematic optimism? The journal of Finance, 54(5), 1777-1797.
  • Elton, E. J., Gruber, M. J., & Gultekin, M. N. (1984). Professional expectations: Accurary and diagonosis of errors. Journal of financial and quantitative analysis, 19(4), 351-363.
  • Fosu, S., Danso, A., Ahmad, W., & Coffie, W. (2016). Information asymmetry, leverage and firm value: Do crisis and growthmatter? International Review of Financial Analysis, 46, 140-150.
  • Frankel, R., & Li, X. (2004). Characteristics of a firm's information environment and the information asymmetry between insiders and outsiders. Journal of accounting and economics, 37(2), 229-259.
  • Garcia, D. (2013). Sentiment during recessions. The journal of Finance, 68(3), 1267-1300.
  • Green, T. C., Jame, R., Markov, S., & Subasi, M. (2014). Access to management and the informativeness of analyst research. Journal of financial economics, 114(2), 239-255.
  • Gu, Z., & Wu, J. S. (2003). Earnings skewness and analyst forecast bias. Journal of accounting and economics, 35(1), 5-29.
  • Gupta, R., Suleman, T., & Wohar, M. E. (2019). Exchange rate returns and volatility: the role of time-varying rare disaster risks. The European Journal of Finance, 25(2), 190-203.
  • Harris, M., & Raviv, A. (1991). The theory of capital structure. The journal of Finance, 46(1), 297-355.
  • Hirshleifer, D. (2001). Investor psychology and asset pricing. The journal of Finance, 56(4), 1533-1597.
  • Hong, H., & Kubik, J. D. (2003). Analyzing the analysts: Career concerns and biased earnings forecasts. The journal of Finance, 58(1), 313-351.
  • Howe, J. S., Unlu, E., & Yan, X. (2009). The predictive content of aggregate analyst recommendations. Journal of Accounting Research, 47(3), 799-821.
  • Hribar, P., & McInnis, J. (2012). Investor sentiment and analysts' earnings forecast errors. Management science, 58(2), 293- 307.
  • Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015). Investor sentiment aligned: A powerful predictor of stock returns. The review of financial studies, 28(3), 791-837.
  • Hurwitz, H. (2018). Investor sentiment and management earnings forecast bias.Journal of business finance & accounting, 45(1-2), 166-183.
  • Ilomäki, J., & Laurila, H. (2018). The Noise Trader Effect in a Walrasian Financial Market. Advances in Decision Sciences, 22, 1-14.
  • Jackson, A. R. (2005). Trade generation, reputation, and sell-side analysts. The journal of Finance, 60(2), 673-717.
  • Jiang, F., Lee, J., Martin, X., & Zhou, G. (2019). Manager sentiment and stock returns. Journal of financial economics, 132(1), 126-149.
  • Karlsson, N., Loewenstein, G., & Seppi, D. (2009). The ostrich effect: Selective attention to information. Journal of Risk and uncertainty, 38(2), 95-115.
  • Kecskés, A., Michaely, R., & Womack, K. L. (2017). Do earnings estimates add value to sell-side analysts’ investment recommendations? Management science, 63(6), 1855-1871.
  • Kim, K., Ryu, D., & Yang, H. (2019). Investor sentiment, stock returns, and analyst recommendation changes: The KOSPI stock market. Investment Analysts Journal, 48(2), 89-101.
  • Kim, Y., Lobo, G. J., & Song, M. (2011). Analyst characteristics, timing of forecast revisions, and analyst forecasting ability. Journal of Banking & Finance, 35(8), 2158-2168.
  • Krishnaswami, S., & Subramaniam, V. (2000). The impact of capital structure on efficient sourcing and strategic behavior. Financial Review, 35(4), 9-30.
  • Kumar, Y., Chaturvedula, C., Rastogi, N., & Bang, N. P. (2009). Impact of analyst recommendations on stock prices. IUP Journal of Applied Finance, 15(4), 39.
  • Kurov, A. (2008). Investor sentiment, trading behavior and informational efficiency in index futures markets. Financial Review, 43(1), 107-127.
  • Lee, W. Y., Jiang, C. X., & Indro, D. C. (2002). Stock ma Journal of Banking & Finance, 26(12), 2277-2299.rket volatility, excess returns, and the role of investor sentiment.
  • Lo, A. W. (2004). The adaptive markets hypothesis. The Journal of Portfolio Management, 30(5), 15-29.
  • Loh, R. K. (2010). Investor inattention and the underreaction to stock recommendations. Financial management, 39(3), 1223-1252.
  • Loh, R. K., & Stulz, R. M. (2011). When are analyst recommendation changes influential? The review of financial studies, 24(2), 593-627.
  • Lys, T., & Sohn, S. (1990). The association between revisions of financial analysts' earnings forecasts and security-price changes. Journal of accounting and economics, 13(4), 341-363.
  • Maury, B., & Pajuste, A. (2005). Multiple large shareholders and firm value. Journal of Banking & Finance, 29(7), 1813-1834.
  • Mikhail, M. B., Walther, B. R., & Willis, R. H. (1997). Do security analysts improve their performance with experience? Journal of Accounting Research, 35, 131-157.
  • Mikhail, M. B., Walther, B. R., & Willis, R. H. (2003). The effect of experience on security analyst underreaction. Journal of accounting and economics, 35(1), 101- 116.
  • Miwa, K. (2016). Investor sentiment, stock mispricing, and long-term growth expectations. Research in international business and finance, 36, 414-423.
  • Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American economic review, 48(3), 261-297.
  • Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of financial economics, 13(2), 187-221.
  • Neal, R., & Wheatley, S. M. (1998). Do measures of investor sentiment predict returns? Journal of financial and quantitative analysis, 33(4), 523-547.
  • Nissani, M. (1994). Conceptual conservatism: An understated variable in human affairs? The Social Science Journal, 31(3), 307- 318.
  • Pargendler, M. (2011). State ownership and corporate governance. Fordham L. Rev., 80, 2917.
  • Park, J., & Banaji, M. R. (2000). Mood and heuristics: the influence of happy and sad states on sensitivity and bias in stereotyping. Journal of personality and social psychology, 78(6), 1005.
  • Pojarliev, M., & Levich, R. M. (2011). Detecting crowded trades in currency funds. Financial Analysts Journal, 67(1), 26-39.
  • Qiang, Z., & Shu-e, Y. (2009). Noise trading, investor sentiment volatility, and stock returns. Systems Engineering-Theory & Practice, 29(3), 40-47.
  • Rabelo, F. M., & Vasconcelos, F. C. (2002). Corporate governance in Brazil. Journal of business ethics, 37(3), 321-335.
  • Ross, S. A. (1977). The determination of financial structure: the incentive- signalling approach. The bell journal of economics, 23-40.
  • Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of empirical finance, 16(3), 394-408.
  • Shan, L., & Gong, S. X. (2012). Investor sentiment and stock returns: Wenchuan Earthquake. Finance Research Letters, 9(1), 36-47.
  • Shefrin, H., & Statman, M. (1994). Behavioral capital asset pricing theory. Journal of financial and quantitative analysis, 29(3), 323-349.
  • Shen, J., Yu, J., & Zhao, S. (2017). Investor sentiment and economic forces. Journal of Monetary Economics, 86, 1-21.
  • Shiller, R. J. (1981). Alternative tests of rational expectations models: The case of the term structure. Journal of Econometrics, 16(1), 71-87.
  • Shleifer, A., & Vishny, R. W. (1997). A survey of corporate governance. The journal of Finance, 52(2), 737-783.
  • Sias, R., Turtle, H. J., & Zykaj, B. (2016). Hedge fund crowds and mispricing. Management science, 62(3), 764-784.
  • Stickel, S. E. (1992). Reputation and performance among security analysts. The journal of Finance, 47(5), 1811-1836.
  • Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The journal of Finance, 62(3), 1139-1168.
  • Uygur, U., & TaÅŸ, O. (2014). The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange. Borsa Istanbul Review, 14(4), 236-241.
  • Venkatesh, P., & Chiang, R. (1986). Information asymmetry and the dealer's bid-ask spread: A case study of earnings and dividend announcements. The journal of Finance, 41(5), 1089-1102.
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Cite this article

    CHICAGO : Majid, Safyan, Muhammad Awais, and Javed Iqbal. 2022. "Information Asymmetry and Analyst Forecast in Market-Wide Investor Sentiment." Global Economics Review, VII (II): 45-57 doi: 10.31703/ger.2022(VII-II).05
    HARVARD : MAJID, S., AWAIS, M. & IQBAL, J. 2022. Information Asymmetry and Analyst Forecast in Market-Wide Investor Sentiment. Global Economics Review, VII, 45-57.
    MHRA : Majid, Safyan, Muhammad Awais, and Javed Iqbal. 2022. "Information Asymmetry and Analyst Forecast in Market-Wide Investor Sentiment." Global Economics Review, VII: 45-57
    MLA : Majid, Safyan, Muhammad Awais, and Javed Iqbal. "Information Asymmetry and Analyst Forecast in Market-Wide Investor Sentiment." Global Economics Review, VII.II (2022): 45-57 Print.
    OXFORD : Majid, Safyan, Awais, Muhammad, and Iqbal, Javed (2022), "Information Asymmetry and Analyst Forecast in Market-Wide Investor Sentiment", Global Economics Review, VII (II), 45-57
    TURABIAN : Majid, Safyan, Muhammad Awais, and Javed Iqbal. "Information Asymmetry and Analyst Forecast in Market-Wide Investor Sentiment." Global Economics Review VII, no. II (2022): 45-57. https://doi.org/10.31703/ger.2022(VII-II).05