À繫¿¬±¸ Á¦ ±Ç È£ (2009³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.1980~2024
pp.1980~2024
Analyst Recommendations subsequent to Stock Price Jumps : Are they informative?
George Jiang Eller College of Management, University of Arizona, Tucson, AZ 85721, USA
Woojin Kim Korea University Business School, Seoul 136-701, South Korea.
This paper examines the informativeness of analyst recommendations following large changes in stock prices, or the so-called jumps. We interpret jumps in stock prices as a proxy for generic corporate ¡°information event¡±. We test whether analyst stock recommendations are influenced by recent stock price jumps and find that compared with unconditional probability of issuing recommendation revision, the probability of issuing an upgrade (downgrade) conditional on positive (negative) stock price jumps is roughly two (three) times higher, and that this tendency is more pronounced for analysts with more experience We also find that recommendation revisions made in the same directions as the recent jumps are at least as or even more informative than revisions with no preceding jumps, especially for upgrades following positive jumps and for longer horizons. On the other hand, revisions made in the opposite direction as the recent jumps are not as informative as revisions with no preceding jumps.
George Jiang
Woojin Kim
This paper examines the informativeness of analyst recommendations following large changes in stock prices, or the so-called jumps. We interpret jumps in stock prices as a proxy for generic corporate ¡°information event¡±. We test whether analyst stock recommendations are influenced by recent stock price jumps and find that compared with unconditional probability of issuing recommendation revision, the probability of issuing an upgrade (downgrade) conditional on positive (negative) stock price jumps is roughly two (three) times higher, and that this tendency is more pronounced for analysts with more experience We also find that recommendation revisions made in the same directions as the recent jumps are at least as or even more informative than revisions with no preceding jumps, especially for upgrades following positive jumps and for longer horizons. On the other hand, revisions made in the opposite direction as the recent jumps are not as informative as revisions with no preceding jumps.
[ 07327 ] 67-8, Yeouinaru-ro, Yeongdeungpo-gu, Seoul, Korea TEL. +82-2-2003-9921 FAX. +82-2-2003-9979 E-mail. office@korfin.org COPYRIGHT(C) SINCE 1987 KOREAN FINANCE ASSOCIATION. All rights reserved.