“…The main concern in this paper is to investigate whether analysts that give recommendations related to the NYSE and the LSE are enough qualified, sensitive or possess privileged information than investors have. This is what corresponds to the second research hypothesis that is split into two sub‐hypotheses that appeared in Murg et al (2014) in similar form: H2 1 The stock prices do not significantly react to stock recommendations' reiterations . H2 2 The greater the change in a stock recommendations' level, the stronger the markets' reaction .…”
Section: Theoretical Backgroundsupporting
confidence: 57%
“…Although the U.S. and the U.K. stock markets are assumed to be efficient and rather transparent, basing on aforementioned previous studies (Asquith et al, 2005; Keasler & McNeil, 2010; Pogozheva, 2013; Womack, 1996), they are expected to react to such recommendations. Thus, as of now, along with Murg et al (2014), the first hypothesis can be formulated as follows: H1 The NYSE and the LSE stocks experience significant abnormal returns when new analysts' recommendations are released .…”
Section: Theoretical Backgroundmentioning
confidence: 99%
“…Authors of studies of investment value of analyst recommendations and the market reaction to these publications (Asquith et al, 2005; Bae et al, 2008; Keasler & McNeil, 2010; Li, Ramesh, Shen, & Wu, 2015; Murg, Pachler, & Zeitlberger, 2014; Vukovic, Ugolnikov, & Maiti, 2020b; Womack, 1996) acknowledged the essence of the event study analysis that allows tracking the reactions of the stock market to certain events and news arising from the activities of market participants. As it was mentioned earlier, the core characteristic of the investors' response is abnormal returns and cumulative abnormal returns that occur around the event.…”
The main objective of the paper is to investigate the analysts’ recommendations’ value and to determine on which market the analysts have more predictive power that can be defined as an extent of a stock price’s reaction around a particular recommendation what leads to abnormal returns of the security. Such recommendations are significant in decision‐making whether to buy or to sell a particular stock. We observed 1,881 events from 168 companies traded at the London Stock Exchange and the New York Stock Exchange in a period between January 1, 2016, and April 31, 2019. We used an event study analysis and classical one‐factor market model to determine expected returns for a particular stock in an estimation window. It was found that both American and European Union markets are feasible to be outperformed by the analysts but it is impossible to highlight any of the markets as they behave almost identically around positive, neutral and negative recommendations.
“…The main concern in this paper is to investigate whether analysts that give recommendations related to the NYSE and the LSE are enough qualified, sensitive or possess privileged information than investors have. This is what corresponds to the second research hypothesis that is split into two sub‐hypotheses that appeared in Murg et al (2014) in similar form: H2 1 The stock prices do not significantly react to stock recommendations' reiterations . H2 2 The greater the change in a stock recommendations' level, the stronger the markets' reaction .…”
Section: Theoretical Backgroundsupporting
confidence: 57%
“…Although the U.S. and the U.K. stock markets are assumed to be efficient and rather transparent, basing on aforementioned previous studies (Asquith et al, 2005; Keasler & McNeil, 2010; Pogozheva, 2013; Womack, 1996), they are expected to react to such recommendations. Thus, as of now, along with Murg et al (2014), the first hypothesis can be formulated as follows: H1 The NYSE and the LSE stocks experience significant abnormal returns when new analysts' recommendations are released .…”
Section: Theoretical Backgroundmentioning
confidence: 99%
“…Authors of studies of investment value of analyst recommendations and the market reaction to these publications (Asquith et al, 2005; Bae et al, 2008; Keasler & McNeil, 2010; Li, Ramesh, Shen, & Wu, 2015; Murg, Pachler, & Zeitlberger, 2014; Vukovic, Ugolnikov, & Maiti, 2020b; Womack, 1996) acknowledged the essence of the event study analysis that allows tracking the reactions of the stock market to certain events and news arising from the activities of market participants. As it was mentioned earlier, the core characteristic of the investors' response is abnormal returns and cumulative abnormal returns that occur around the event.…”
The main objective of the paper is to investigate the analysts’ recommendations’ value and to determine on which market the analysts have more predictive power that can be defined as an extent of a stock price’s reaction around a particular recommendation what leads to abnormal returns of the security. Such recommendations are significant in decision‐making whether to buy or to sell a particular stock. We observed 1,881 events from 168 companies traded at the London Stock Exchange and the New York Stock Exchange in a period between January 1, 2016, and April 31, 2019. We used an event study analysis and classical one‐factor market model to determine expected returns for a particular stock in an estimation window. It was found that both American and European Union markets are feasible to be outperformed by the analysts but it is impossible to highlight any of the markets as they behave almost identically around positive, neutral and negative recommendations.
“…However, brokers and traders generally tend to note that the change in the analyst's equity valuation has a high impact on the subsequent dynamics of the share price in the short term. For example, in Souček and Wasserek (2014), and Murg et al (2014) the importance of the "analyst's valuation" variable was confirmed in a sample of European public companies in the short and medium term (up to 6 months).…”
Section: Literature Review and Research Hypothesesmentioning
The purpose of the study is to find out the influence of semantic (emotional coloring, length and complexity of the text) and thematic features (environmental, corporate-social and legal context) of conference calls with market analysts and investors on future company performance (CAR) and analysts’ recommendation for the share. The empirical framework of the research includes annual conference calls of public companies on the Moscow (MOEX) and London Stock Exchanges (LSE) from 2015 to 2019. The research methodology is based on the semantic analysis of the call text by using the linguistic dictionaries NRC 2010 and Corporate Social Responsibility 2016. The results of the study illustrate the significant impact of textual features of the conference call (the general tone of the call, the tone of management and the negative tone of analysts, the length and complexity of the text) on the abnormal stock returns (for 3, 14, 30 days). This relation is consistent for companies of both stock exchanges, but diverges in terms of the influence of the thematic characteristics of the call that can be explained by the mandatory disclosure of this information by European public companies (ESG Reports), as opposed to voluntary publication by Russian companies. The results can be applied both by the management of public companies in order to improve companies’ attractiveness (perception and transparency) and its market value in the short and medium-term period, and by investors to manage effectively the portfolio by predicting the future dynamics of the company’s share price after a conference call based on semantic tone and thematic features.
“…Whilst we do not find significance of the proxy for synchronicity around corporate earnings releases, we do find that more highly traded stocks are less responsive to new earnings information, which provides circumstantial support for the argument that company earnings are less important than market movements in pricing more liquid African stocks. The important role of illiquidity in asset‐pricing in developing markets is recognized in studies such as Hearn, Piesse, and Strange (2010) who examine illiquidity and the cost of capital in African markets, and Murg, Pachler, and Zeitlberger (2016), who investigate stock price implications of analyst recommendations in Austrian firms. Further, Ibbotson, Chen, Kim, and Hu (2013) argue that trading strategies can be constructed based on liquidity in a similar manner to size, value/growth or momentum strategies.…”
We investigate the informativeness of earnings announcements in African stock markets and examine whether, conditional on the level of synchronicity and liquidity of stocks, market reactions are influenced by earnings characteristics. Normalized volatility indicates that earnings announcements are informative across the sample. The results are driven by less frequently traded stocks and informativeness manifests more clearly at announcement and in the post‐announcement window. There is little evidence of leakage. Informativeness is also present for highly traded stocks, notably after announcement. Cross‐sectional tests provide evidence of an effect of both earnings fundamentals and investor behaviour on stock returns around earnings announcements.
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