When Are Analyst Recommendation Changes Influential?

• 成果类型: Article
• 署名作者: Loh, Roger K.; Stulz, Rene M.
• 署名单位: National Bureau of Economic Research; University System of Ohio; Ohio State University; Singapore Management University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq094
• 发表日期: 2011
• 页码: 593
• 关键词: STOCK RECOMMENDATIONS; EARNINGS FORECASTS; revisions; MARKET; performance; equity

摘要

The existing literature measures the contribution of analyst recommendation changes using average stock-price reactions. With such an approach, recommendation changes can have a significant impact even if no recommendation has a visible stock-price impact. Instead, we call a recommendation change influential only if it affects the stock price of the affected firm visibly. We show that only 12% of recommendation changes are influential. Recommendation changes are more likely to be influential if they are from leader, star, previously influential analysts, issued away from consensus, accompanied by earnings forecasts, and issued on growth, small, high institutional ownership, or high forecast dispersion firms. (JEL G14, G20, G24)