DOI: 10.5176/2251-1997_AF16.19
Authors: Michael Murg
Abstract:
In this paper, we analyze the short-term impact of analysts’ recommendations on stock prices and trading volume of firms listed in the Austrian, German, Italian and U.S. stock markets. Applying event study methodology on end of day and intraday data, we demonstrate the characteristics of stock price reactions and event induced trading activities. Informativeness of analysts’ recommendations to investors was found on all stock markets. Investors on the U.S. market tend to overreact on the event day, whereas investors in Europe tend to respond charily. The results suggest information asymmetries arising from the distribution process of analysts' recommendations. Additionally, we use a jump detection technique to investigate the speed of the adjustment process to new information as a measure of market efficiency. Stock prices in the U.S. react mostly within the first minute following a new recommendation, while European stocks take four minutes and longer to adjust.
Keywords: analysts’ recommendations, market efficiency, event study, jump detection, intraday analysis;
Updating...