Stock Return Synchronicity and Analysts’ Forecast Properties

  • Joong-Seok Cho Hanyang University
  • Hyung Ju Park Hanyang University
  • Ji-Hye Park Hanyang University
Keywords: Stock Return, Forecast

Abstract

Using stock return synchronicity as a measure of a firm’s information environment, our research investigates how the firms’ stock return synchronicity affects analysts’ forecast properties for the accuracy and optimism of the analysts’ annual earnings forecasts. Stock return synchronicity represents the degree to which market and industry information explains firm-level stock return variations. A higher stock return synchronicity indicates the higher quality of a firm’s information environment, because a firm’s stock price reflects more market-level and industry-level information relative to firm-specific information. Our study shows that stock return synchronicity positively affects the forecast properties. Our finding shows that when stock return synchronicity is high, analysts’ annual earnings forecasts are more accurate and less optimistically biased.

Author Biographies

Joong-Seok Cho, Hanyang University

Associate Professor at Department of Accounting, Hanyang University. He earned his Ph.D. 2005 in Business Administration, specialization in Accounting, from University of Wisconsin, Madison Country : U.S.A.; his M.B.A. 1996 in Accounting and Finance from Vanderbilt University Country : U.S.A. He has published several publications internationally as well as nationally.

Author’s contact details: Department of Accounting, Hanyang University, 222 Wangsimni-ro, Seongdong-gu, Seoul 133-791, Korea; Telp. 82-2-2220-1078; e-mail: joongseok@hanyang.ac.kr corresdponding author.

Hyung Ju Park, Hanyang University

Ph.D. student at Department of Accounting, Hanyang University. She earned her M. S. 2016 in Accounting from the same university.

Author’s contact details: Department of Accounting, Hanyang University, 222 Wangsimni-ro, Seongdong-gu, Seoul 133-791, Korea; Telp. 82-2-2220-1078; e-mail: phj820@hanynag.ac.kr.

Ji-Hye Park, Hanyang University

Part-Time Lecturer at Department of Accounting, Hanyang University. She earned her Ph.D. 2015 in Accounting, from Hanyang University, Korea; and her M. S. 2011 in Accounting from the same university. She has published several publications internationally as well as nationally.

Author’s contact details: Department of Accounting, Hanyang University, 222 Wangsimni-ro, Seongdong-gu, Seoul 133-791, Korea; Telp. 82-2-2220-1078; e-mail: jhcandoit@hanmail.net.

References

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Published
2016-12-02
How to Cite
Cho, J.-S., Park, H. J., & Park, J.-H. (2016). Stock Return Synchronicity and Analysts’ Forecast Properties. Gadjah Mada International Journal of Business, 18(3), 301-314. Retrieved from https://journal.ugm.ac.id/v3/gamaijb/article/view/15559