Analyst Optimism and Stock Price Momentum

Li, Keming; Lockwood, Jimmy; Lockwood, Larry J.; Uddin, Mohammad Riaz

doi:10.2139/ssrn.2694937

Cited by 3 publications

(6 citation statements)

References 99 publications

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“…Similarly, Loh and Stulz (2011) demonstrate that a recommendation is more likely to generate a sizable stock reaction if it comes from a leader analyst. Li et al (2015) find that analyst recommendations play an important role in generating the momentum effect. Li et al (2015) find that analyst recommendations play an important role in generating the momentum effect.…”

Section: Literature Reviewmentioning

confidence: 86%

“…Jegadeesh and Kim (2010) argue that recommendations that move away from consensus have stronger effects on stock prices. Li et al (2015) find that analyst recommendations play an important role in generating the momentum effect.…”

Section: Literature Reviewmentioning

confidence: 86%

“…A vast body of literature comprehensively analyses the effects of analyst recommendations on stock prices and concludes that the investment information they contain is valuable for investors (e.g., Green, 2006;Li, Lockwood, Lockwood, & Uddin, 2015;Loh & Stulz, 2011;Sorescu & Subrahmanyam, 2006). A vast body of literature comprehensively analyses the effects of analyst recommendations on stock prices and concludes that the investment information they contain is valuable for investors (e.g., Green, 2006;Li, Lockwood, Lockwood, & Uddin, 2015;Loh & Stulz, 2011;Sorescu & Subrahmanyam, 2006).…”

Section: Introductionmentioning

confidence: 99%

“…Analyst recommendations serve as an important channel of transmitting company-specific information to market investors. A vast body of literature comprehensively analyses the effects of analyst recommendations on stock prices and concludes that the investment information they contain is valuable for investors (e.g., Green, 2006;Li, Lockwood, Lockwood, & Uddin, 2015;Loh & Stulz, 2011;Sorescu & Subrahmanyam, 2006). Importantly, recommendation revisions are documented to be more informative than the recommendation levels (e.g., Francis & Soffer, 1997;Jegadeesh & Kim, 2010;Jegadeesh, Kim, & Krische, 2004) and to result in significant excess stock returns in the direction of the revision.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Effect of investor inattention on price drifts following analyst recommendation revisions

Kudryavtsev

2018

Int. J Fin Econ

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The study explores stock price dynamics after analyst recommendation revisions. Following the previous literature that documents significant post‐recommendation stock price drifts and attributes them to investor inattention to company‐specific events, I hypothesize that if on the day when a recommendation revision with respect to a stock was issued, the sign of the stock's abnormal return was opposite to the direction of the revision, then it means that investors were especially inattentive to the revision and that the subsequent price drift should be more pronounced. Analysing a large sample of analyst recommendation revisions, I document that recommendation revisions accompanied by the opposite‐sign event‐day abnormal returns are followed by significantly greater post‐event price drifts in the direction of the revision, the magnitude of the drifts increasing for longer post‐event periods. This effect is stronger for small and more volatile stocks and remains robust after accounting for additional company‐specific (size, Market Model beta, and historical volatility) and event‐specific (number of recommendation categories changed in the revision and analyst experience) factors.

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Section: Literature Reviewmentioning

confidence: 86%

Section: Literature Reviewmentioning

confidence: 86%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Effect of investor inattention on price drifts following analyst recommendation revisions

Kudryavtsev

2018

Int. J Fin Econ

View full text Add to dashboard Cite

show abstract

“…Extensive previous literature comprehensively analyses the effects of analyst recommendations on stock prices, and concludes that the investment information they contain is valuable for investors (e.g., Michaely and Womack, 2006;Loh and Mian, 2006;Kecskes et al, 2010;Li et al, 2015). Importantly, recommendation revisions are reported to be more informative than the recommendation levels (e.g., Francis and Soffer, 1997;Jegadeesh et al, 2004;Jegadeesh and Kim, 2010) and to result in significant abnormal stock returns in the direction of the revision.…”

Section: Introductionmentioning

confidence: 98%

The correlation between stock returns before and after analyst recommendation revisions

Kudryavtsev

2021

EKON ANAL

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In this study I analyse the correlation between stock returns before and after analyst recommendation revisions. I hypothesise that if a recommendation revision for a given stock takes place after a short period when the stock?s price moves in the opposite direction, it may indicate that the fundamentals that caused the analyst to revise their recommendation are less completely (if at all) incorporated in the stock price, significantly increasing the probability of subsequent post-event price drift. Analysing a large sample of recommendation revisions, I document that both recommendation upgrades and downgrades are followed by significant one-tosix-month price drifts (reversals) if they are preceded by the opposite-sign (same-sign) short-term cumulative abnormal returns. The effect remains significant after accounting for additional relevant company specific (size, Market Model beta, historical volatility) and event-specific (stock?s return and trading volume on the event day, brokerage firm size, analyst experience, recommendation category before the revision, number of categories changed in the revision) factors.

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Holiday effect on stock price reactions to analyst recommendation revisions

Kudryavtsev

2018

J Asset Manag

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Analyst Optimism and Stock Price Momentum

Cited by 3 publications

References 99 publications

Effect of investor inattention on price drifts following analyst recommendation revisions

Effect of investor inattention on price drifts following analyst recommendation revisions

The correlation between stock returns before and after analyst recommendation revisions

Holiday effect on stock price reactions to analyst recommendation revisions

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