Information Content of Analysts’Recommendation and Relative Market Response
Date Issued
2006
Date
2006
Author(s)
Lai, Shih-Huai
DOI
en-US
Abstract
The stock price responses to the analysts’ recommendations mentioned in the “Heard-on-the-Street (HOTS)”column of The Wall Street Journal are the subjects of this study. Previous studies show that the HOTS column appears to have a significant impact on stock prices on the publication day or before, with 1-2% abnormal return after the event day. This study generates the sample by the restriction that only one firm was recommended in the column and investigates the information content cited in HOTS column for analysts’ recommendations during the period 1997-2004. It is observed that the announcement effects are most observed before and at the event date. For the short term, our sample demonstrates that the HOTS column appears to have an impact on stock prices, with -1.5% abnormal return on the event date. Besides, there is the most influence on stock prices for only one reason recommended in the article, and the reason of “market leadership” recommended by analysts has the largest impacts on accumulative returns -7.6%. Furthermore, the influences of “expected revenue (profit) change”, “leadership and personnel matters”, “merger or acquisition”, “business cycle”, “financial reports or announcements”, “Other reasons (such as share buyback, scandals, law suits, etc)” are significantly observed, while the effects of “new product or technology” and “cost changes” are not significant.
Subjects
宣告效果
股價
超額報酬
推薦理由
市場領導者
Announcement effect
Stock price
Abnormal return
Recommended reasons
Market leadership
Type
thesis