accuracy and bias of equity analysts - paola de vincentiis

8/11/2019 Accuracy and Bias of Equity Analysts - Paola de Vincentiis

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2: (J

2004 M 2007)T . T A

. T ( ) . M I. T ( J. 2004 D. 2006) . P B , ( )

. T T/M .

,

N T # %

A #

M # ,

AB D 73 0.89% 12.33 5.92

ABN A I 37 0.45% 5.33 6.94A D 78 0.96% 19.33 4.03

B A D 462 5.66% 41.33 11.18

B A D 19 0.23% 1.67 11.40

B F I 6 0.07% 2 3

B L D 496 6.08% 30.33 16.35

BNP P I 10 0.12% 0.67 15

C D 528 6.47% 43.33 12.18

C I 24 0.29% 5 4.80

C D 311 3.81% 32 9.72

C I 86 1.05% 23 3.74

C I 384 4.71% 27.67 13.88

CSFB I 81 0.99% 10 8.10

D B I 1,029 12.61% 36.67 28.06

D I 23 0.28% 4.33 5.31

E D 821 10.06% 53.67 15.30E BNP P I 24 0.29% 4.67 5.14

G S I 155 1.90% 13 11.92

ING I 202 2.48% 20.67 9.77

I D 761 9.33% 43.33 16.79

JP M I 57 0.70% 7.33 7.77

K I 139 1.70% 26.67 5.21

L B I 242 2.97% 18.67 12.96

M D 236 2.89% 36.33 6.50

M L I 390 4.78% 26.67 14.63

R D 308 3,78% 30 10.27

UBM D 605 7.42% 40.67 14.88

UBS I 361 4.43% 31.33 11.52

W D 209 2.56% 37 5.65

T 8,157 100%

T

4,907 60.61%

M 271.9 22.90 10.26

T 5 T : 3,744P : 45.90%A : 748.8M : 43.93M , : 17.44

T 10 T : 5,837

P : 71.56%A : 583.7M : 37.70M , : 15.48


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O

M

N #

N. N.

N. N.

%

A

T/M

AB 73 37 0 21 16 50.68% 1.13

ABN A 37 24 0 0 24 64.86% 1.34

A 78 47 1 10 37 61.54% 1.28

B A 462 192 57 74 118 53.90% 1.24

B A 19 11 0 3 8 57.89% 1.22

B F 6 3 0 2 1 50.00% 1.13

B L 496 199 0 46 153 40.12% 1.22

BNP P 10 9 0 0 9 90.00% 1.50

C 528 149 71 50 99 41.67% 1.25

C 24 13 0 0 13 54.17% 1.40

C 311 155 0 28 127 49.84% 1.32

C 86 69 0 12 57 80.23% 1.32

C 384 223 0 78 145 58.07% 1.19

CSFB 81 41 0 4 37 50.62% 1.33

D B 1,029 624 1 124 500 60.74% 1.32

D 23 15 0 0 15 65.22% 1.39

E 821 360 202 94 266 68.45% 1.30

E BNP P 24 17 0 2 15 70.83% 1.31

G S 155 72 0 31 41 46.45% 1.18

ING 202 109 0 21 88 53.96% 1.26

I 761 367 116 44 323 63.47% 1.31

JP M 57 38 0 12 26 66.67% 1.20

K 139 107 0 33 74 76.98% 1.27

L B 242 138 0 36 102 57.02% 1.26M 236 157 0 37 120 66.53% 1.28

M L 390 288 0 106 182 73.85% 1.23

R 308 140 6 34 106 47.40% 1.22

UBM 605 260 91 103 157 58.02% 1.24

UBS 361 122 0 11 111 33.80% 1.23

W 209 103 31 20 83 64.11% 1.33

O 8,157 4,089 576 1,036 3,053 57.19% 1,27


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33

3:

T . I : ) ( 2 ), T/M; ) , T/T1

T/M T/T1

# O 8,157 7,073

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M 5.506 3.48

75 1.339 0.0538

M 1.219 0

25 1.117 0

M 0.308 0.8730

S. D. 0.315 0.1392


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34

4: T .T (B C ) BI

, , , . T (, , ). T , 10 .

O S S %

N. ( 31D. 2007) 275 79 28.73

T ( . E, 2007) 254,263 206,887 81.37

C ( . E, 31D. 2007) 874,502 775,507 88,68

N. I (J 2004 M 2007) 49 11 22.45

S I S F

N. 23 27 28

% 29.11 34.18 35.44

C ( . E, 31D. 2007) 161,475 279,983 393,056

% 18.46 32.02 44.94

N. 2,787 3,239 2,131

%

S 10

S T 10 %

N. 2,471 8,157 30.29

C ( . E, 31D. 2007 366,518 874,502 41.91

T ( . E, 2007) 135,322 254,263 53.22


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T (P A)

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/ 2

T/M2

T/M2 AF5 AF10 TPE12AV TPEANYAV TPE12 TPEANY

1 1.0153 0.1550 0.2908 0.2766 0.2147 0.1458 0.1572

2 1.1684 0.1985 0.3706 0.2296 0.2061 0.0025 0.1556

3 1.2738 0.1908 0.3556 0.2333 0.1951 0.061 0.0487

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O 1.268 0.1536 0.2952 0.3016 0.2488 0.0733 0.0188

( )

R AF5 AF10 TPE12AV TPEANYAV TPE12 TPEANY

S B 0.1342 0.2673 0.3446 0.3752 0.2459 0.0998

B 0.1892 0.3378 0.2502 0.2534 0.1476 0.0222

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/>1

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/


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36

6:

T (TPE12AV)

1,000 (TPE12AVS). T ( = 0; = 1).

# 12A 12A S

AB 73 0,463309694 0,376866065 0,086443629 1,3702

AB A 37 0,34772183 0,290323534 0,057398296 0,7876

A 78 0,319252703 0,271902092 0,047350611 1,1845

B A 462 0,355598198 0,306113744 0,049484453 2,2896 *

B A 19 0,317753428 0,299267994 0,018485433 0,3657

B 6 0,339387819 0,166445956 0,172941863 1,7527 *

B 502 0,281237077 0,242127818 0,039109259 2,9021 **

B 10 0,349229839 0,305350283 0,043879556 0,8926

C 527 0,341845922 0,317374494 0,024471428 1,4138

C 24 0,291735905 0,298461292 0,006725387 0,1250

C 311 0,285865711 0,29963138 0,013765669 0,6817

C 86 0,335955658 0,347783621 0,011827963 0,2563

C 384 0,299608467 0,229426957 0,07018151 4,8845 **

CB 82 0,309866729 0,28509646 0,024770269 0,7728

B 1029 0,312256995 0,359530614 0,047273619 3,9024 ** 23 0,263124307 0,255166726 0,007957581 0,1584

821 0,350537297 0,291741724 0,058795573 4,7567 **

24 0,289367285 0,239536868 0,049830417 0,8779

155 0,30085343 0,28472426 0,01612917 0,7504

202 0,326434672 0,261154691 0,065279981 3,1564 **

761 0,369885966 0,348611325 0,021274641 1,1841

57 0,31972327 0,259134044 0,060589226 1,8124

139 0,305921409 0,263826545 0,042094864 1,4329

B 242 0,320669078 0,263309403 0,057359675 2,6828 **

236 0,358076263 0,309742009 0,048334254 1,8319 390 0,321567686 0,257617493 0,063950192 4,0670 **

308 0,333974797 0,280595681 0,053379116 2,4436 **

B 605 0,36230475 0,300533694 0,061771056 3,2472 **

B 361 0,338228652 0,300003092 0,03822556 2,3567 **

209 0,400359419 0,34732401 0,053035408 1,3226

8,157 0,3345 0,3016 0,0329 7,4139 **


37/42

37

7:

T . T 13 . I (TPEANYVA P A, AC10 P B). T 3 : 5 , 5 , 5 .

F , . I 2 . T P . T T TB. *: < 0.05; **: < 0.01.

TPEANYAV TPEANYAV AC10 AC5 TPEANY

Q Q +1 Q +1 Q +1 Q +1T 5 0.1435 0.2125 0.3124 0.1293 0.0111S 5 0.1939 0.2026 0.3373 0.1435 0.0411B 5 0.3481 0.2588 0.2541 0.1298 0.0326A 0.2292

D. T B 0.2046**

(7,18)

0.046*

(2,05)

0.058

(1,19)

0.0005

(0,72)

0.0215

(0,054)

10

AC10 AC10 TPEANYAV TPEANY AC5Q Q +1 Q +1 Q +1 Q +1

T 5 0.5127 0.3222 0.2334 0.0411 0.4237S 5 0.3506 0.3181 0.2096 0.0410 0.2655

B 5 0.1074 0.2536 0.2209 0.0435 0.4330A 0.3036

D. T B 0.4053**(9,46)

0.0685(1,33)

0.0125(0,38)

0.00233(0,51)

0.0092(0,054)


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38

8:

: T OLS :

;;;;COVAGE;COVSCOPEDEVST;;TPMP;;TPERROR +++++=

:TPERROR;;: , , ; TPMP;;: (TP) 2 (MP2); DEVST: 60 ; COVSCOPEJ;: ; COVAGE;;: ( , ) , ; ;;: . T T

. *: < 0.05; **: < 0.01.

12

I (1) (2) (3) (4)I 0,536**

(41.07)0.542**(32.27)

0.572 **(42.99)

0.561**(39.51)

TPMP 0.522**(59.35)

0.520**(58.99)

0.579 **(64.58)

0.579(63.92)

DEVST 10.504**(20.16)

10.022**(19.36)

11.862 **(22.35)

11.713 *(22.02)

COVSCOPE 0.0062**(4.36)

0.003 *(1.93)

COVAGE 0.002**(2.30)

0.001(0.73)

A R2 0.3315 0.3386 0.3708 03743SER 0.2478 0.2426 02524 0.2992

N. 7,877 7,595 7,877 7,595


39/42

39

9:

: T OLS :

;;;;COVAGE;COVSCOPEDEVST;;TPMP;;TPERROR +++++=

: TPERROR;;: (TPEANY P A

TPE12 P B) , , ; TPMP ;;: (TP) 2 (MP 2);DEVST: 60 ; COVSCOPEJ;: ; COVAGE;;: ( , ) , ; ;; : . T T . *: < 0.05; **: < 0.01.

12

I (1) (2) (3) (4)I 0.957 **

(60.26)0.942

(58.18)1.050 **(62.05)

1.027 **(57.16)

TPMP 0.787 **(73.53)

0.789(73.78)

0.907 **(79.54)

0.912(79.51)

DEVST 5.30**(8.37)

4.594**(7.31)

2.42 **(3.58)

1.890 **(2.81)

COVSCOPE 0.012**(6.91)

0.016 **(8.41)

COVAGE 0.005**(5.21)

0.006**(6.07)

A R2 0.4106 0.4256 0.4461 0.4574SER 0.3013 0.2945 0.3213 0.3155

N. 7,877 7,595 7,877 7,595


40/42

40

10:

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. T T . *:

accuracy and bias of equity analysts - paola de vincentiis

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