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

Hsieh, Wen Liang Gideon; Lee, Chin Shen

doi:10.1016/j.pacfin.2020.101492

Cited by 3 publications

(1 citation statement)

References 40 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…As a very important kind of news report, research reports published by securities companies, which mainly focus on financial and market-related attributes to the stock price with the purpose of predicting stock prices and giving buysell-hold recommendations, play a prominent role in capital markets [11,68,69]. Securities companies have richer information channels and more research capabilities than ordinary financial news reporters, so for retail investors, research reports released by securities companies are important reference objects of investment decisions [70].…”

Section: E Effect Of Research Reports On Stock Returns and Investor Sentimentmentioning

confidence: 99%

The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

Wang

2021

Discrete Dynamics in Nature and Society

View full text Add to dashboard Cite

This paper investigates whether and how the research reports issued by securities companies affect stock returns from the perspective of investor sentiment in China. By collecting research reports and investor comments from a popular Chinese investor community, i.e., East Money, we derive two indices that represent the information contained in research reports: one is the attention of research reports and the other is the average stock rating given by research reports; then we develop an investor sentiment indicator using the machine learning method. Based on behavioral finance theory, we hypothesize that research reports have a significant effect on stock returns and investor sentiment plays a mediating role in it. The empirical analysis results confirm the above hypotheses. Specifically, the average stock rating given by research reports can better predict future stock returns, and investor sentiment plays a partial mediating role in the relationship between stock rating and stock returns.

show abstract

Section: E Effect Of Research Reports On Stock Returns and Investor Sentimentmentioning

confidence: 99%

The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

Wang

2021

Discrete Dynamics in Nature and Society

View full text Add to dashboard Cite

show abstract

Mean reverting in stock ratings distribution

Chan

2022

Rev Quant Finan Acc

View full text Add to dashboard Cite

Research on information fusion of security analysts’ stock recommendations based on two-dimensional D-S evidence theory

Li,

Zhu,

et al. 2024

The North American Journal of Economics and Finance

View full text Add to dashboard Cite

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

Cited by 3 publications

References 40 publications

The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

Mean reverting in stock ratings distribution

Research on information fusion of security analysts’ stock recommendations based on two-dimensional D-S evidence theory

Contact Info

Product

Resources

About