Overconfidence, Analyst Coverage and Capital Market Pricing Efficiency——An Empirical Study Based on R2

Abstract

Abstract:

This paper examines the effect of investor overconfidence on stock price synchronicity, and the influence of analyst coverage on the relationship between them. Based on the data of Chinese listed companies from 2008 to 2014, we find a significantly negative relationship between R-square and the degree of investor overconfidence. The negative relationship declines as analyst coverage increases. Our evidence suggests that both irrational factor and firm-specific information have significant impacts on stock price synchronicity. From the perspective of investor overconfidence, our study provides new empirical evidence regarding the nature of R-square.

Key words: overconfidence, analyst coverage, stock price synchronicity, price information content

Jin Dawei, Feng Luxi. Overconfidence, Analyst Coverage and Capital Market Pricing Efficiency——An Empirical Study Based on R2[J]. , 2016, 28(12): 41-53.

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