Abstract

The authors investigate the empirical relation among investor sentiment, valuation uncertainty, and announcements of changes in analyst recommendation decisions among U.S. firms. Recent behavioral finance evidence shows market sentiment to have predictive content that affects the classical relationship between analyst recommendations and stock return dynamics. Contrary to this evidence, the authors find that degree of valuation uncertainty is associated to the impact of investor sentiment when examining a likelihood of consensus recommendation upgrade or downgrade. While not totally eliminating the significant investor sentiment effect under high valuation uncertainty, the investor sentiment does not powerfully explain the stock market reactions to analyst recommendation changes under low valuation uncertainty. Furthermore, the authors show that analyst recommendations provide significant buy or sell signals if valuation uncertainty is great, referring to the market being highly competitive. However, in less competitive markets, analyst reports become less informative. Overall, the authors demonstrate that magnitude of valuation uncertainty is an important complement to investor sentiment for further understanding analyst recommendations.

摘要

作者调查了投资者情绪、估值不确定性和美国公司分析师推荐决策变更公告之间的实证关系。最近的行为金融学证据表明，市场情绪具有影响分析师建议与股票回报动态之间经典关系的预测内容。与这一证据相反，作者发现，在检验共识建议升级或降级的可能性时，估值不确定性的程度与投资者情绪的影响有关。虽然不能完全消除高估值不确定性下投资者情绪的显着影响，但投资者情绪并不能有力地解释低估值不确定性下股市对分析师建议变化的反应。此外，作者表明，如果估值不确定性很大，分析师的建议会提供重要的买入或卖出信号，指的是市场竞争激烈。然而，在竞争较弱的市场中，分析师报告的信息量会减少。总体而言，作者证明，估值不确定性的大小是对投资者情绪的重要补充，有助于进一步理解分析师的建议。