Equity Analysts and the Market's Assessment of Risk
研究发现股票分析师不仅提供未来现金流信息，还提供定价风险信息；风险评级变动会显著影响股票收益和因子载荷，且比信用评级变动更及时、对股价影响更大。
ABSTRACT The traditional view of equity analysts is that they are a source of new information about future cash flows. We broaden this view by demonstrating that equity analysts are also a substantive source of new information about priced risk. In particular, we document that, when announced, changes in analyst risk ratings distinctly and significantly affect equity returns, and are generally followed by significant changes in Fama–French factor loadings. Also, while less frequent than credit rating changes, equity risk rating changes are timelier, and with a larger overall stock price impact than credit rating changes.