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- W3005684544 abstract "The study explores the correlation between the immediate and the longer-term stock returns following analyst recommendation revisions. In line with previous studies, documenting that recommendation revisions are followed by significant stock price drifts , I suggest that if a recommendation revision is followed by a relatively large short-term stock price drift, then it may indicate that the new information is more completely reflected by the respective stock's price, creating significantly less reasons for subsequent longer-term price drift, which therefore, should be significantly less pronounced compared to the one following another recommendation revision which is not immediately followed by a significant price drift in a short run. Employing a sample of recommendation revisions, I establish that positive (negative) one-, three- and six-month stock price drifts after recommendation upgrades (downgrades) are significantly more pronounced if the latter are immediately followed by relatively low (high) short-term (5- or 10-day) cumulative abnormal returns. The effect remains robust after accounting for additional company-specific (size, Market-Model beta, historical volatility) and event-specific (number of recommendation categories changed in the revision, analyst experience) factors." @default.
- W3005684544 created "2020-02-24" @default.
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- W3005684544 date "2020-01-01" @default.
- W3005684544 modified "2023-09-23" @default.
- W3005684544 title "Stock Return Dynamics after Analyst Recommendation Revisions" @default.
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