Analysts Predict Behavior of American Depositary Receipts
| Autor: | Chia Wei Chan, 詹佳瑋 |
|---|---|
| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 This paper investigates the relationship between analysts prediction behavior and American Depositary Receipts (ADRs). In particular, we further to examine whether the analysts forecast revise in the recession period. We use pair-t technique to test the existence of optimistic analyst forecast and use multiple linear regression to identify the relationship between analysts forecast and ADRs return. We show analysts forecast bias usually exist over-optimistic prediction and the scale effect does not affect the ADRs regardless of the economic expansion or recession period. Therefore, we are unable to use the anomalies effect to defeat market. We also find that analyst usually more focus on the trend for future business growth than the price of securities has occurred. These finding doesn’t suggest that investors can capture the ADRs price market and obtain excess returns by analysts forecast. In general, while the analyst announce to their forecast will consider the other analysts report, but hold a more conservative attitude in the recession period. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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