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The ?Dartboard? Column: Second-Hand Information and Price Pressure

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Author Info
Barber, Brad M.
Loeffler, Douglas
Abstract

This study analyzes the effect of second-hand information on the behavior of security prices and volume using analysts' recommendations published in the monthly column of the Wall Street Journal. For the two days following the publication of the recommendations, average positive abnormal returns of 4 percent and average volume double normal volume levels on the two days following publication of the recommendations are documented. The positive abnormal return on announcement is partially reversed within 25 trading days. The authors conclude that the positive abnormal return on announcement of the recommendations is a result of naive buying pressure as well as the information content of the analysts' recommendations.

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File URL: http://journals.cambridge.org/abstract_S0022109000008498
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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 28 (1993)
Issue (Month): 02 (June)
Pages: 273-284
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:28:y:1993:i:02:p:273-284_00

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  1. David F. Babbel & Craig B. Merrill & Mark F. Meyer & Meiring de Villiers, 2001. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Center for Financial Institutions Working Papers 01-03, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  2. Andreas Hackethal & Michael Haliassos & Tullio Jappelli, 2009. "Financial Advisors: A Case of Babysitters?," CSEF Working Papers 219, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
    Other versions:
  3. Lidén, Erik R., 2003. "Swedish Stock Recommendations: Information Content or Price Pressure?," Working Papers in Economics 98, Göteborg University, Department of Economics, revised 19 Sep 2003. [Downloadable!]
  4. Jonathan Reuter & Eric Zitzewitz, 2005. "Do Ads Influence Editors? Advertising and Bias in the Financial Media," Finance 0501003, EconWPA. [Downloadable!]
    Other versions:
  5. Barber, Brad & Lehavy, Reuven & Trueman, Brett & McNichols, Maureen, 2001. "Prophets and Losses: Reassessing the Returns to Analysts' Stock Recommendations," Research Papers 1692, Stanford University, Graduate School of Business. [Downloadable!]
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This page was last updated on 2009-12-14.

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