Market structure, informed trading, and analysts' recommendations

被引：41

作者：

Kim, ST ^{[1
]}

Lin, JC

Slovin, MB

机构：

[1] Dongsuh Secur Co LTD, Seoul 150010, South Korea

[2] Louisiana State Univ, Dept Finance, Baton Rouge, LA 70803 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1997年 / 32卷 / 04期

关键词：

D O I：

10.2307/2331235

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine stock price behavior in response to initial coverage, buy recommendations that are pre-released to important clients before the stock market opens, and find a strong positive valuation effect at the open. On average, it takes five minutes of trading for NYSE/AMEX stocks and 15 minutes for NASDAQ stocks to reflect the private information contained in these analyst recommendations, so when informational asymmetry is high, the centralized call market is more efficient than a competitive, but fragmented dealer market. Public news release leaves share prices unaltered. Overall, competition among informed traders causes private information to be rapidly incorporated into stock prices.

引用

页码：507 / 524

页数：18

共 21 条

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AMIHUD Y, 1987, J FINANC, V42, P533

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