Slow price reactions to analysts' recommendation revisions

Kotaro Miwa, Kazuhiro Ueda

研究成果: Contribution to journalArticle査読

2 被引用数 (Scopus)

抄録

This study explores the reasons for the slow price reactions to analysts' recommendation revisions. We predict that analysts' recommendation revisions contain earnings-related information that is not incorporated in analysts' earnings forecasts and that the slow price reaction is attributable to a gradual incorporation of this earnings-related information into stock prices. We find that, consistent with our prediction, stocks with recommendation upgrades subsequently experience more upward earnings forecast revisions than stocks with recommendation downgrades, and that the differences in subsequent stock returns between upgraded and downgraded stocks is attributable to differences between subsequent earnings forecast (especially, FY2 earnings forecast) revisions.

本文言語英語
ページ(範囲)993-1004
ページ数12
ジャーナルQuantitative Finance
14
6
DOI
出版ステータス出版済み - 6 2014
外部発表はい

All Science Journal Classification (ASJC) codes

  • 財務
  • 経済学、計量経済学および金融学(全般)

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