Earticle

초록

영어

This paper examines the informativeness of analyst recommendations following large changes in stock prices, or the so-called jumps. We interpret jumps in stock prices as a proxy for generic corporate “information event”. We test whether analyst stock recommendations are influenced by recent stock price jumps and find that compared with unconditional probability of issuing recommendation revision, the probability of issuing an upgrade (downgrade) conditional on positive (negative) stock price jumps is roughly two (three) times higher, and that this tendency is more pronounced for analysts with more experience We also find that recommendation revisions made in the same directions as the recent jumps are at least as or even more informative than revisions with no preceding jumps, especially for upgrades following positive jumps and for longer horizons. On the other hand, revisions made in the opposite direction as the recent jumps are not as informative as revisions with no preceding jumps.

목차

Abstract
 I. Hypotheses
 II. Identifying Stock Price Jumps
 III. Data and Sample
 IV. Empirical Results
  1. Stock Price Jumps around Recommendation Revisions
  2. Recommendation Revisions subsequent to Stock Price Jumps
  3. The Effect of Broker Reputation and Analyst Experience on Revisions following Jumps
  4. Market Reactions to Recommendation Revisions subsequent to Price Jumps
 V. Conclusion
 References
 Appendix

키워드

저자

• George Jiang [ Eller College of Management, University of Arizona, Tucson, AZ 85721, USA ]
• Woojin Kim [ Korea University Business School, Seoul 136-701, South Korea. ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330