Is there an analyst (un)coverage premium?

We investigate whether the variation in the level of information availability relates to a perfor-mance differential across share prices. Using the number of analyst reports on the stock as proxy, we study twenty countries' stock markets and find that there exists a positive analyst (un) coverage return in fifteen countries with twelve of them statistically significant. This suggests a premium on stocks which are not followed by analysts. A zero-investment arbitrage strategy that longs the no-coverage stocks and shorts the high-coverage stocks in equal-weighted portfolios generates an average of 0.34% in monthly alpha across the twenty countries studied.