Announcement Effects of Stock Recommendations
Date Issued
2015
Date
2015
Author(s)
Chen, Yi-Fan
Abstract
We examine how stock recommendations relate to abnormal return (AR). Through event study, we used market model to estimate expected returns on each stock, and observed how AR changes before and after the issue dates of stock recommendations. There are four stages of analysis including: (1) How stock recommendations relate to AR; (2) How different level of stock recommendations relates to AR; (3) How different issuers of stock recommendations relate to AR; (4) How different issuers and level of stock recommendation relate to AR. The results indicate that: (1) Stock recommendations tend to be positive, more than half of the total are positive. The local stock recommendations issuers’ negative recommendations contribute only 2.3% of total. (2) Neutral is perceived as negative, the AR shows the same pattern, but smaller in scale. (3) The positive recommendation does not relate to massive growth in AR. AR shows a greater growth before event date than after. (4) After the negative recommendations issued, those come from local issuers relate to a continuous decline in AR, while those come foreign issuers relate to a decline in event date only.
Subjects
Stock Recommendation
Event Study
Announcement Effects
Interest Conflict
Abnormal Return
Type
thesis
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