We examine the relation between analysts’ consensus recommendation changes and future stock price crash risk in recessionary economic conditions and normal conditions. We find that analysts’ downgrades are followed by a higher stock price crash risk in normal macroeconomic conditions, but a...

Based on empirical data for the Chinese market from 2005 to 2021, we examine the impact of disclosure specificity on market divergence and the explanatory role of analysts. We first extract information on names, locations and numbers from management discussion and analysis (MD&A) as proxies for...

The validity of day trading as a long-term consistent and uncorrelated source of income for traders and investors has always been a matter of debate. In this paper, we investigate the profitability of the well-known Opening Range Breakout (ORB) strategy during the period of 2016 to 2023. This...

We provide robust evidence that the price of analysts' disagreement risk in the cross-section of stock returns changes sign over time; it's positive (negative) in periods of high (low) disagreement.We construct a general equilibrium model in which analysts have heterogeneous beliefs about...

Using manually collected firm-level data on foreign subsidiaries, we examine the impact of internationalisation on analysts’ earnings forecast bias in Chinese multinational corporations. We find that analysts’ earnings forecast bias is stronger among multi-national firms when compared with...

We investigate the extent to which international and domestic economic policy uncertainty (EPU) impacts analysts’ earnings forecasts for Australian Securities Exchange (ASX) listed firms. Over a twenty-year period, we demonstrate that EPU is positively associated with analyst coverage, the...

Does user-generated analyst coverage improve the market quality of covered stocks? We use articles published on the platform SeekingAlpha and measure market quality using trading volume, share turnover, and bid-ask spreads. To account for endogenous stock selection, we employ (i) an instrumental...

This paper examines the fundamental role of security analysts as information intermediaries using recent advances in the realized variance literature. We construct a signal-to-noise volatility ratio to capture the efficiency contribution of analysts' recommendations while controlling for noise...

This research studies a dynamic reinsurance model for an ambiguity-averse insurer. The insurer can manage its risk exposure through the purchase of reinsurance and the issuance of catastrophe bonds (CAT bonds) which are linked to an exogenous trigger index. The insurer worries about the veracity...

As an efficient method for reducing systemic risk, contingent convertible bonds (Cocos) have received widespread attention, especially in banking. Similarly, contingent convertible catastrophe bonds (CocoCATs) are effective in the insurance system to minimize catastrophic risks. In this study,...