Jiang & Kim find persistent price moves after recommendation changes

Evaluating Analysts’ Value: Evidence from Recommendations Around Stock Price Jumps by Jiang & Kim (2010)


Recent literature documents that the issuance of analyst recommendations tends to coincide with i

mportant corporate events, but offers mixed evidence on whether such recommendations have added value. In this paper, we use large discontinuous stock price changes, known as jumps, to proxy for corporate “events” with significant information shock and reexamine the

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potential value of analyst revisions. Consistent with the literature, we find that analysts revise their recommendations more frequently on days with jumps in stock prices. These contemporaneous hot lesbian porn revisions, although accounting for only 10% of the revision sample, explain up to a half (a third) of the initial market reactions for downgrades (upgrades). Nevertheless, when focusing on revisions made after stock price jumps – which are less likely influenced by confounding corporate events – we still find that these revisions contain significant price information. The added value is most pronounced for upgrades following positive jumps, with an average of abnormal 4.5% return over a 6-month horizon.

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