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The first- and second-hand effect of stock recommendations : new evidence on the price pressure and information hypothesis

Schmid, Markus and Schlumpf, Philipp and Zimmermann, Heinz. (2008) The first- and second-hand effect of stock recommendations : new evidence on the price pressure and information hypothesis. European financial management, Vol. 14. S. 962-988.

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Abstract

This paper empirically investigates the impact of both the first release of analysts' stock recommendations to a limited clientele and the subsequent dissemination of the same information in a major newspaper to a broader audience. For a sample of 1460 stock recommendations published in FuW, Switzerland's major financial newspaper, significant positive abnormal returns on the day of the original release of buy recommendations and on the day of publication in FuW are documented. Tests of the price pressure and information hypotheses reveal that analysts' recommendations contain new information, which is quickly incorporated in the stock prices on the first release of this information. In contrast, the statistically significant announcement effects associated with the subsequent publication can be primarily ascribed to price pressure in the underlying securities.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
UniBasel Contributors:Zimmermann, Heinz
Item Type:Article, refereed
Bibsysno:Link to catalogue
Publisher:Blackwell
ISSN:1354-7798
Note:Publication type according to Uni Basel Research Database: Journal article
Language:English
Identification Number:
Last Modified:31 Dec 2015 10:47
Deposited On:22 Mar 2012 14:08

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