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- W2895535667 abstract "Abstract 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." @default.
- W2895535667 created "2018-10-12" @default.
- W2895535667 creator A5057584531 @default.
- W2895535667 date "2018-10-04" @default.
- W2895535667 modified "2023-09-24" @default.
- W2895535667 title "Effect of investor inattention on price drifts following analyst recommendation revisions" @default.
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- W2895535667 doi "https://doi.org/10.1002/ijfe.1666" @default.
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