What Makes a Stock Risky? Evidence from Sell‐Side Analysts' Risk Ratings
用1997-2003年所罗门美邦（现花旗）的研究报告，发现分析师的风险评级主要由特质风险、规模、账面市值比和杠杆等常见风险指标解释，且能预测未来收益波动，说明分析师是投资风险信息的重要提供者。
ABSTRACT We examine the determinants and the informativeness of financial analysts' risk ratings using a large sample of research reports issued by Salomon Smith Barney, now Citigroup, over the period 1997–2003. We find that the cross‐sectional variation in risk ratings is largely explained by variables commonly viewed as measures of risk, such as idiosyncratic risk, size, book‐to‐market, and leverage. In addition, earnings‐based measures of risk, such as earnings quality and accounting losses, also contribute to explaining the cross‐sectional variation in the risk ratings. Finally, we document that the risk ratings can be used to predict future return volatility after controlling for other predictors of future volatility. We conclude that analysts play an important role as providers of information about investment risk.