Contribution of Sell-Side Equity Analyst Reports to Client’s Return and Stock Price Efficiency: Indonesia Stock Market Evidence
Sumbangan Laporan Penganalisis Ekuiti terhadap Pulangan Pelabur dan Kecekapan Harga Saham: Bukti Empirikal Bursa Saham Indonesia

Department of Management
Faculty of Economics and Business, Universitas Indonesia
UI Campus, Depok 16424, Indonesia

irwanekaputra@hotmail.com; irwan.adi@ui.ac.id.

Faculty of Business, UnikaWidya Mandala, Surabaya
Jl. Dinoyo 48A, Surabaya Jawa Timur 60265, Indonesia

erna_msi@yahoo.com

Department of Management
Faculty of Economics and Business, Universitas Indonesia
UI Campus, Depok 16424, Indonesia

cynthiautama@yahoo.com

Abstract

The present study investigates whether equity analyst reports benefit clients and improve stock price efficiency. Company- focus reports issued and documented by six brokerage companies in Indonesia are collected and the analysis focuses on the revisions of stock recommendations (upgrade, downgrade, or reiteration); earnings forecasts; and price targets. First, the results show that analyst reports contribute to client’s returns. Upgrade revisions, downgrade revisions and price target revisions significantly influence clients’ abnormal returns. However, clients do not seem to take into account earnings forecast revisions. Second, the finding reveal that analyst reports contribute to stock price efficiency. Upgrade revisions and price target revisions improve price efficiency. However, earnings forecast revisions and downgrade revisions do not appear to improve price efficiency. Third, the results indicate that price efficiency improvement tends to reduce non-client (market) abnormal returns, which corroborates the second finding.

Keywords

abnormal return; analyst; brokerage; price efficiency; price informativeness

Citation

Ekaputra, I. A., Susilawati, C. E., & Utama, C. A. (2013). Contribution of Sell-Side Equity Analyst Reports to Client’s Return and Stock Price Efficiency: Indonesia Stock Market Evidence. Jurnal Pengurusan, 37, 25–32.

@article{ekaputra2013contribution,
  title={Contribution of Sell-Side Equity Analyst Reports to Client’s Return and Stock Price Efficiency: Indonesia Stock Market Evidence},
  author={Ekaputra, Irwan Adi and Susilawati, C. Erna and Utama, Cynthia Afriani},
  journal={Jurnal Pengurusan},
 

volume={37},
  number={},
  pages={25—32},
  year={2013},
  doi={},
  publisher={Penerbit UKM},
}

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37 (2013) 25 – 32

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