Conditions under which recommendations change relative to consensus recommendations are value relevant ? Evidence from Asian emerging markets

Dissertant

Futuhi, Muhammad Amini

University

Al Akhawayn University

Faculty

The School of Business Administration

University Country

Morocco

Degree

Master

Degree Date

2010

English Abstract

This paper documents the conditions under which recommendation changes relative to consensus recommendation are value relevant.

Using data from the period between 1994 and 2002 from emerging markets in Asia (Indonesia, Malaysia, South Korea, Philippines and Thailand), this paper shows that upgrades relative to consensus recommendation with low standard deviation are more value relevant than upgrades relative to consensus recommendation with high standard deviation.

We argue that consensus recommendation is a proxy for information prevailing in the market only when there is a census among analysts about it.

Therefore, an upgrade relative to low standard deviation consensus recommendation conveys information that is not in the markets.

However, contrary to our expectations, we show that downgrades relative to consensus recommendation for both cases, i.e.

when standard deviation in consensus recommendation is high and when standard deviation in consensus recommendation is low, are not followed by returns that are significantly more than other recommendation changes

Main Subjects

Business Administration

No. of Pages

26

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-627893