This study examines whether sell-side analysts can disseminate information consistent with anomaly prescriptions in China. I adopt 192 trading- and accounting-based anomaly signals to identify undervalued and overvalued stocks. Results show that analysts tend to make more (less) favorable recommendations and earnings forecasts for undervalued (overvalued) stocks. Regarding the information content, analyst recommendations and earnings forecasts are consistent with accounting- rather than trading-based information. Additionally, analyst recommendations and earnings forecasts are consistent with anomalies, especially for firms with a relatively poor information environment. These results indicate that Chinese analysts can mitigate anomaly mispricing and improve market efficiency.

We provide for the first time the emerging market variance risk premium (EMVRP) from 2006 to 2023, based on nine emerging stock and option markets—Brazil, China, India, South Korea, Mexico, Poland, Russia, South Africa, and Taiwan. The EMVRP significantly predicts international stock returns and currency appreciation rates, especially for horizons longer than six months. This is in sharp contrast with the predictive pattern of the developed market variance risk premium (DMVRP), which is more important over horizons shorter than six months. These findings are consistent with an illustrative model incorporating partial market integration and heterogeneous economic uncertainty.