Analysts’ Incentives to Produce Industry-Level versus Firm-Specific Information
研究发现分析师在推荐股票时更倾向于生产公司层面的信息而非行业层面的信息，且公司特有波动性越高，公司信息越多；行业信息则随行业贝塔绝对值增加而增加。
Abstract Using stock returns around recommendation changes to measure the information produced by analysts, I find that analysts produce more firm-specific than industry-level information. Analysts produce more firm-specific information on stocks with higher idiosyncratic return volatilities. The amount of industry information produced by analysts increases with the absolute value of the stock’s industry beta and decreases with the stock’s idiosyncratic volatility. Other stocks in the industry also respond to the recommendation change, and the magnitude of the response increases with the absolute value of the industry beta of the recommended stock and that of other stocks in the industry. I also offer results on how investors may use analyst research more effectively and potentially improve their investment performance.