Abstract
Prior studies have documented that abnormal returns are earned by following security analysts' investment recommendations (Womack (1996), Kim, Lin, and Slovin (1997)). This paper explores the impact of analyst investment recommendations on intraday stock returns when those recommendations are conditioned on the release of public news. Additionally, this study re-addresses the question of whether analyst recommendations have investment value. We examine the timing of analyst recommendations compared to public news by analyzing intraday patterns of recommendations, news announcements, and return volatility. Additionally, we investigate the intraday market impact of both analyst recommendations and public news announcements. From this, we examine the marginal impact of analyst recommendations that are released in conjunction with news announcements, as well as the differential impact between public news and analyst recommendations when recommendations are released separately from other news.
Published Version
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