Analyst Coverage and Expected Crash Risk: Evidence from Exogenous Changes in Analyst Coverage

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 c...

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Veröffentlicht in:	The Accounting review 2019-07, Vol.94 (4), p.345-364
Hauptverfasser:	Kim, Jeong-Bon, Lu, Louise Yi, Yu, Yangxin
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysts Brokerage Investors Mergers Options markets Risk assessment Risk factors Stock brokers Volatility
Online-Zugang:	Volltext
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