Information content of analysts' report : Malaysian evidence /
This research aimed to empirically investigate the following: (i) information content of analyst report on stock return; (ii) degree of informativeness in analyst report; (iii) accuracy of analyst recommendation; and (iv) enhancement of information disclosure in the analyst report. Samples of ana...
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
Kuala Lumpur :
Kulliyyah of Economics and Management Sciences, International Islamic University Malaysia,
2018
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| Subjects: | |
| Online Access: | Click here to view 1st 24 pages of the thesis. Members can view fulltext at the specified PCs in the library. |
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| Summary: | This research aimed to empirically investigate the following: (i) information content of analyst report on stock return; (ii) degree of informativeness in analyst report; (iii) accuracy of analyst recommendation; and (iv) enhancement of information disclosure in the analyst report. Samples of analyst reports collected for the purpose of analysis were 657 daily basis reports dating from January 4th, 2010 to December 24th, 2015. The study employed a market-adjusted method for the calculation of cumulative abnormal return (CAR) and panel regression to test the research objectives. Based on the models developed, the empirical finding revealed the following outcomes: (i) model one showed that 66.67% of the variables had significant relationship with the return (target price or TP, and earnings forecast or EF) out of three information contents, (ii) model two hypothesised that only 16.67% of the variables had momentous explanatory power (return of equity or ROE, and market capitalization or MC) over the CAR, and (iii) finally, model three which was a combination of model one and model two showed that 33.33% of the variables (target price or TP, earnings forecast or EF, return on equity or ROE, cash flow to price or CFP, and sales to price ratio or SPR) had substantial relationship with the CAR. Therefore, it was concluded that not all of the information contained in the report had explanatory power in explaining returns. The result remained the same even though the models were controlled according to different segmentations such as industries, age, and beta classifications. In terms of accuracy of recommendation, the study found that the percentage of accuracy was 57% based on selected report, evidenced by the differing target price and ending price. Hence, it can be concluded that analyst reports possess less informational role among investors. With respect to the enhancement of information disclosure, the current study found that Malaysian analysts tended to rely heavily on statistical justification alone in making recommendations. The qualitative result suggested that analysts should consider incorporating both quantitative and qualitative information which will lead to a fuller disclosure of information, an improvement which is deemed necessary as the analyst report continues to constitute a salient agent in the investors' decision-making repertoire in the local context. |
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| Physical Description: | xxi, 321 leaves : illustrations ; 30cm. |
| Bibliography: | Includes bibliographical references (leaves 279-302). |