The current study investigates the relationship between analyst coverage and the moments of the return distribution. Results are presented to support a time-varying pattern in the premiums associated with the higher moments of returns, particularly for the fourth moment of the distribution. In addition, evidence is presented to suggest that there exists some ex-post and ex-ante forecasting ability based on the use of the higher moments of the return distribution as stock selection criteria. In the second half of the study, results show that as the number of analysts following a firm increases, the third and fourth moments of the return distribution are impacted, with the former being reduced and the latter increased. In addition, the initiation and discontinuation of analyst coverage are both found to be related to the higher moments of the return distribution. The initiation of analyst coverage is associated with a reduction in skewness and an increase in excess kurtosis, while the discontinuation of coverage results in an increase in both of the higher moments of the distribution. Taken together, the results of the two main questions in the current research study suggest that investors seeking higher distributional moments of returns may favor neglected firms over their followed counterparts, particularly in periods of heightened market volatility. In addition, the results show that the two main competing hypotheses concerning the causes of non-normal security returns, namely firm information structure and security liquidity, both impact the higher moments of the return distribution. / Thesis (Ph.D, Management) -- Queen's University, 2010-08-26 12:18:47.528

<p> We developed and tested procedures to rank the performance of security analysts according to the timeliness of their earning forecasts. We compared leaders and followers among analysts on various performance attributes, such as accuracy, boldness, experience, brokerage size and so on. We also use discriminant analysis and logistic regression model to examine what attributes have an effect on the classification. Further, we examined whether the timeliness of forecasts is related to their impact on stock prices. We found that the lead analysts identified by the measure of forecast timeliness have a greater impact on stock price than follower analysts. Our initial sample includes all firms on the Institutional Brokers Estimate System (I/B/E/S) database and security return data on the daily CRSP file for the years 1994 through 2003.</p> / Thesis / Master of Science (MSc)

abstract: Managers’ control over the timing and content of information disclosure represents a significant strategic tool which they can use at their discretion. However, extant theoretical perspectives offer incongruent arguments and incompatible predictions about when and why managers would release inside information about their firms. More specifically, agency theory and theories within competitive dynamics provide competing hypotheses about when and why managers would disclose inside information about their firms. In this study, I highlight how voluntary disclosure theory may help to coalesce these two theoretical perspectives. Voluntary disclosure theory predicts that managers will release inside information when managers perceive that the benefits outweigh the costs of doing so. Accordingly, I posit that competitive dynamics introduce the costs associated with disclosing information (i.e., proprietary costs) and that agency theory highlights the benefits associated with disclosing information. Examining the context of seasoned equity offerings (SEOs), I identify three ways managers can use information in SEO prospectuses. I hypothesize that competitive intensity increases proprietary costs that will reduce disclosure of inside information but will increase discussing the organization positively. I then hypothesize that capital market participants (e.g., security analysts and investors) may prefer managers to provide more, clearer, and positive information about the SEO and their firms. I find support for many of my hypotheses. / Dissertation/Thesis / Doctoral Dissertation Business Administration 2017

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