Firm Uncertainty and Financial Analysts’ Activity

34 Pages Posted: 7 May 2011

Date Written: October 1, 2010

Abstract

Using implied volatility surfaces provided by the Optionmetrics database for the period 2003-2007, this study documents the strong, positive relation between investor perceptions of firm uncertainty and financial analysts’ activity. Granger causality tests reveal that an increase in perceived uncertainty leads to a subsequent increase in financial analysts’ activity, but this increase in activity does not seem to lead to lower firm uncertainty perceptions. The results from a sample of merger and acquisition transactions completed by S&P500 firms confirm a positive relation between firm uncertainty perceptions and financial analysts’ subsequent activity.

Keywords: Financial analysts, Uncertainty, Implied volatility

JEL Classification: G14

Suggested Citation

Cousin, Jean-Gabriel and de Bodt, Eric and Levasseur, Michel G., Firm Uncertainty and Financial Analysts’ Activity (October 1, 2010). International Conference of the French Finance Association (AFFI), May 2011, Available at SSRN: https://ssrn.com/abstract=1833469

Jean-Gabriel Cousin (Contact Author)

Univ. Lille, ULR 4112 - LUMEN ( email )

1 place Déliot - BP381
Lille Cedex, 59020
France
33-3-2090-7606 (Phone)
33-3-2090-7629 (Fax)

Eric De Bodt

NHH ( email )

Helleveien 30
Bergen, NO-5045
Norway

Michel G. Levasseur

Université de Lille ( email )

42, rue Paul Duez
Lille, 59000
France

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