Short-term effects of analysts recommendations in Spanish blue chips returns and trading volumes
The purpose of this paper is to investigate the effects of stock recommendations in returns and trading volumes. Unlike previous research we have investigated the five most usual types of recommendations: buy, outperform, hold, underperform and sell. The methodology we propose is also different f...
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| Format: | Article |
| Language: | English |
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Universidad de Chile
2016-04-01
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| Series: | Estudios de Economía |
| Online Access: | https://estudiosdeeconomia.uchile.cl/index.php/EDE/article/view/40219 |
| Summary: | The purpose of this paper is to investigate the effects of stock recommendations
in returns and trading volumes. Unlike previous research we have investigated
the five most usual types of recommendations: buy, outperform, hold, underperform
and sell. The methodology we propose is also different from previous
studies. From our results we conclude that positive (negative) abnormal returns
are associated to positive (negative and neutral) recommendations, the day of
publication of the recommendation and the day before, but not the day after
publication. We also document an asymmetry in the effect of recommendation
on the stock trading volume, following the sign of the recommendation. |
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| ISSN: | 0304-2758 0718-5286 |