The value of client access to analyst recommendations

被引:101
作者
Green, TC [1 ]
机构
[1] Emory Univ, Goizueta Business Sch, Atlanta, GA 30322 USA
关键词
D O I
10.1017/S0022109000002404
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Early access to stock recommendations provides brokerage firm clients with incremental investment value. After controlling for transaction costs, purchasing (selling) quickly following upgrades (downgrades) results in average two-day returns of 1.02% (1.50%). Short-term profit opportunities persist for two hours following the pre-market release of new recommendations. The results are robust within sub-periods and a calendar-based strategy produces positive abnormal daily returns of over 10 basis points, or roughly 30% annualized. Recommending firms' market makers shift their quotes accordingly, providing indirect evidence that clients make use of the informational advantage that arises from analysts' opinion changes.
引用
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页码:1 / 24
页数:24
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