Analyst Informativeness and Investors` Trading Behavior: Focus on IPOs

Lim, Byungkwon; Yoon, Pyung Sig; Park, Soonhong

Korean Journal of Financial Studies 2016;45(5):971-999.
Published online December 31, 2016.

Byungkwon Lim, Pyung Sig Yoon, Soonhong Park

애널리스트의 정보력과 투자자별 거래행태

임병권, 윤평식, 박순홍

Abstract

This study examines the informativeness of analysts using all reports published in IPOs and compares the informativeness between underwriter analysts and unaffiliated analysts. Also, we test the information leakage (Tipping) before the public release of analysts` reports. The major findings are as follows. First, we find that analyst reports have price informativeness. However, the relation between the analysts coverage and the price informativeness is significantly negative. Second, we find that the price informativeness of underwriter analysts is less than unaffiliated analysts due to conflicts of interest. Finally, we find that individual, domestic institutional and foreign institutional investors`abnormal tradings on release date are significantly large for both underwriter and unaffiliated analysts. However, all investors`abnormal tradings before release date arises only in the case of unaffiliated analysts reports. Especially, domestic institutional investors response to not only the release date of analysts reports but before public release. Therefore, we can not identify direct evidence of the tipping. In conclusion, we find that financial analysts in IPOs play a key role as information intermediaries rather than information producers. Furthermore, we identify that the informativeness of underwriter analysts are less than unaffiliated analysts due to conflicts of interest.

Key Words: 신규상장기업,애널리스트 정보력,정보유출,정보중계자,주간사회사,Analysts Informativeness,Information Intermediary,Initial Public Offerings,Tipping,Underwriter