Predictability of Analysts’ Forecast Revision under COVID-19: Evidence from Emerging Markets
Emerging Markets, Finance & Trade
; 57(6):1689-1698, 2021.
Article
in English
| ProQuest Central | ID: covidwho-1219882
ABSTRACT
Using stock market data from six emerging economies (that is, China, Brazil, India, Malaysia, the Philippines, and Russia), we find that analysts’ forecast revision, a significant anomaly in emerging markets during the past two decades, is disappeared during the COVID-19 pandemic. We formulate factor sorted portfolio and Fama–MacBeth regression to explain the disappearance. We find that the return predictability of analysts’ forecast revision is negatively correlated with the pandemic’s severity, whereas analysts have not provided sufficient information to investors under this severe pandemic. We supplement the theory of time-varying risk premium as well as sophisticated investors with fresh evidence.
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Type of study:
Prognostic study
Language:
English
Journal:
Emerging Markets, Finance & Trade
Year:
2021
Document Type:
Article
Similar
MEDLINE
...
LILACS
LIS