Analyst valuation and corporate value discovery

摘要

This paper examines firm-level valuations by financial analysts and by the market, using a traditional vector error-correction model (VECM) or threshold vector error-correction model (TVECM) to obtain the information shares of the two parties. While investors' valuations lead financial analysts' valuations in most firms, the reverse is not uncommon. A cross-sectional analysis reveals that analyst forecasts are more valuable for firms with less trading, less uncertainty, and weaker association between prices and earnings.