Analyst Following and Market Liquidity*
研究分析师关注人数和预测分歧度如何影响股票买卖价差、深度和逆向选择成本，发现分析师提供公共信息，关注度越高流动性越好，且分析师特征先于流动性变化。
Abstract This paper investigates the relation between analyst characteristics (number of analysts following a firm and their forecast dispersion) and market liquidity characteristics (bid‐ask spreads and depths and the adverse‐selection component of the spread). Prior research has found contradictory results on the relation between analyst following and market liquidity and has offered differing theories on how analysts affect liquidity. While prior research has posited analysts as proxies for privately informed trade or as signals of information asymmetry, I hypothesize that analysts provide public information, implying that analyst following (forecast dispersion) should have a positive (negative) association with liquidity. Cross‐sectional simultaneous estimations provide support for this hypothesis. The results are both statistically significant and economically important. Granger causality tests indicate that analyst characteristics lead market liquidity characteristics. These results clarify the role of analysts in providing information to financial markets and highlight benefits of increased analyst following.