Analyst Coverage and Expected Crash Risk: Evidence from Exogenous Changes in Analyst Coverage
利用券商合并和关闭作为分析师覆盖的外生冲击，研究发现分析师覆盖下降会显著增加公司预期崩盘风险，且对初始覆盖少的公司影响更强。
ABSTRACT Using brokerage mergers and closures as two sources of exogenous shock to analyst coverage, this study explores the causal effect of analyst coverage on ex ante expected crash risk as captured by the options implied volatility smirk. We find a significant increase in a firm's ex ante expected crash risk subsequent to an exogenous drop in analyst coverage; this positive effect is stronger for firms initially receiving less coverage. Further, we find analysts' ability matters to investors' assessment of future crash risk. Specifically, we find the impact is more pronounced for the coverage terminations of analysts with more firm-specific or general experience, with greater access to resources, or whose prior forecasts are more accurate than those of their peers. Overall, our results suggest that investors in the options market do recognize analysts as important information intermediaries and monitors and, thus, that analyst coverage influences the underlying stock's expected crash risk. JEL Classifications: G12; M41.