Market response to analyst recommendations in the “dartboard” column: the information and price‐pressure effects

Review of Financial Economics - Tập 5 - Trang 59-74 - 1996
Robert L. Albert1
1Morehead State University, USA

Tóm tắt

AbstractThe market response to securities selected by analysts featured in the “Dartboard” column of The Wall Street Journal (WSJ) is the subject of this study. Prior studies have reported significantly positive abnormal returns on the WSJ issue date, followed by a partial price reversal, suggesting that the initial response is partially attributable to price pressure. If we use a post‐event instead of a pre‐event estimation period, we find a similar event day response but no significant reversal. Though we are unable to reject the possibility of a price pressure effect, our results are generally consistent with the existence of an information effect. We also detect a differential response to securities recommended by analysts invited back to the contest and those recommended by newcomers, suggesting that the information effect is related to the market following recommendations of potentially superior analysts.

Tài liệu tham khảo

10.1016/0165-4101(89)90018-9 10.2307/2331290 10.1086/296543 10.1016/0304-405X(82)90004-6 10.2469/faj.v42.n3.69 10.1177/0148558X9200700103 10.1007/BF02408396 10.2307/2330704 10.1111/j.1475-6803.1992.tb00797.x 10.1086/295983 10.1016/0304-405X(85)90046-7 10.1016/0165-4101(86)90003-0 10.1111/j.1540-6261.1992.tb04684.x 10.1111/j.1540-6288.1989.tb00361.x
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Review of Financial Economics

Tập 5

59-74

Thông tin tác giả