Who reacts to what information in securities analyst reports? Direct evidence from the investor trade imbalance

Wen liang Gideon Hsieh*, Chin Shen Lee

*此作品的通信作者

研究成果: Article同行評審

2 引文 斯高帕斯(Scopus)

摘要

Using a comprehensive dataset that distinguishes the buy/sell volume of four investor types, we find that foreign institutions and domestic mutual funds are the primary users of analyst reports. Their buy–sell imbalances move in tandem with analysts' signals and significantly explain the size of cumulative abnormal returns across incidents of analyst report releases. Proprietary traders' buy/sell positions are less related to analyst opinions, and individual investors emerge as de facto liquidity providers to aggressive institutions. Institutional investors respond first to stock recommendations and then use target prices as supplementary information. Earnings forecasts, which contain nuanced information, do not elicit abnormal trade imbalances for any institutional investors. We further discover that trade reactions to target prices and earnings forecasts can be viewed more as a constant multiplier of the signal rather than as an increasing or decreasing function of the signal strength. The trade imbalance caused by analyst information is found to predict next-period stock returns, although the predictive ability is for the short-term period only.

原文English
文章編號101492
期刊Pacific Basin Finance Journal
65
DOIs
出版狀態Published - 2月 2021

指紋

深入研究「Who reacts to what information in securities analyst reports? Direct evidence from the investor trade imbalance」主題。共同形成了獨特的指紋。

引用此