Earticle

초록

영어

Using trading data from the Korean equity market, we investigate whether there is any difference amongst individual investors, domestic institutional investors, and foreign institutional investors in trading responses to analyst reports. We also examine the determinants of the trading responses of each investor type to analyst reports, where we use firm characteristics as well as analyst characteristics as the determinants of the release date trading volumes of each investor type. Our findings are as follows. First, individual investors are the most responsive investor group to the analyst reports, suggesting that institutional investors (domestic and foreign) perceive analyst reports to be less informative than do the individual investors. In particular, individual investors are more responsive to analyst reports on small firms, firms neglected by analysts, and firms with large inside ownership as well as analyst reports with optimistic forecasts. Second, domestic institutional investors are more responsive to reports on neglected firms and firms with high volatility, which are characterized by large information asymmetry. Furthermore, the increase in trading volume by domestic institutional investors occurs prior to the release date of analyst reports, suggesting that domestic institutional investors are informed traders. Third, foreign institutional investors do not show meaningful responses to research reports by local analysts, suggesting that foreign institutional investors do not find the information provided by local analysts as being informative.

목차

Abstract
 1. Introduction
 2. Literature Review
 3. Explanations on Variables
  3.1 Measurement of the informativeness of analyst reports using market response
  3.2 Determinants of the informativeness of analyst reports
 4. Research Models
 5. Empirical Results
  5.1 Sample selection
  5.2 Descriptive statistics and correlation
  5.3 Tests of informativeness of analyst reports on the release dates
  5.4 Market responses before and after the release of analyst reports
  5.5 Effect of the trading behaviors of each investor type on the overall market responses
  5.6 Determinants of trading responses to analyst reports for each investor type
  5.7 Effect of forecast characteristics on trading volume responses to analyst reports for each investor type
 6. Summary and Conclusions
 REFERENCE
 Appendix
 Table

키워드

저자

• Kyung Soon Kim [ Hankuk University of Foreign Studies ]
• Yun Woo Park [ Chung-Ang University ]
• Jin Woo Park [ Hankuk University of Foreign Studies ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330