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Investment analysis and price formation in securities markets
Open accessAbstract
This paper investigates the relation between the number of analysts following a security and the estimated adverse selection cost of transacting in the security, controlling for the effects of previously identified determinants of liquidity. Using intraday data for the year 1988, we find that greater analyst following tends to reduce adverse selection costs based on the Kyle (1985) notion of market depth. This result is consistent with the analysis of Admati and Pfleiderer (1988). Estimates of structural parameters of a version of the Admati and Pfleiderer model of endogenous information acquisition provide qualified support for the model.
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Citations
Cited by
Information Asymmetry, R&D, and Insider Gains
Aboody, D., & Lev, B. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00305 · Cited by 1,524
Financial Constraints, Investment, and the Value of Cash Holdings
Denis, D. J., & Sibilkov, V. (2010) · Review of Financial Studies · doi:10.1093/rfs/hhp031 · Cited by 1,377
Transparency, Liquidity, and Valuation: International Evidence on When Transparency Matters Most
LANG, M., LINS, K. V., & MAFFETT, M. (2012) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2012.00442.x · Cited by 821
A review of the empirical disclosure literature: discussion
Core, J. E. (2001) · Journal of Accounting and Economics · doi:10.1016/s0165-4101(01)00036-2 · Cited by 803
Dynamic Volume-Return Relation of Individual Stocks
Llorente, G., Michaely, R., Saar, G., & Wang, J. (2002) · Review of Financial Studies · doi:10.1093/rfs/15.4.1005 · Cited by 689
Metadata
- Authors
- Brennan, M. J., & Subrahmanyam, A.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 1995-07
- Volume
- 38
- Issue
- 3
- Pages
- 361-381
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2075397703
- Cited by
- 728
- References
- 0
- FWCI
- 7.32
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Brennan, M. J., & Subrahmanyam, A. (1995). Investment analysis and price formation in securities markets. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(94)00811-e
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
