Trading Behavior Prior to Public Release of Analyst Reports: Evidence from Korea

• 成果类型: Article
• 署名作者: Choi, Bobae; Jung, Kooyul; Lee, Doowon
• 署名单位: University of Newcastle; Ulsan National Institute of Science & Technology (UNIST)
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1111/1911-3846.12090
• 发表日期: 2015
• 页码: 105-+
• 关键词: business group affiliation; Ownership structure; earnings; recommendations; MARKET; Informativeness; disclosure; forecasts; IMPACT

摘要

This paper investigates information leakage from analyst reports prior to their public release. Previous studies document abnormal trading by institutions or short selling before announcement of recommendation changes. Such pre-release abnormal trading is interpreted as evidence of information leakage from analyst reports. However, if sophisticated investors obtain information similar to what analysts have from other sources, abnormal pre-release trading patterns would be observed even if there were no information leakage from analyst reports. This paper, using a unique data set from Korea, aims to determine whether a direct causal link between recommendation changes and pre-release trading exists, by comparing trading behavior of client investors with non-client investors. We find that abnormal pre-release trading by client investors, especially client institutions, is earlier in timing and greater in magnitude than that of other investor groups, supporting the information leakage hypothesis. We further find that net buying by client institutions and client large individuals is positively associated with firm, analyst, and earnings forecast change variables that influence formulation of recommendation changes and their impacts.