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Information uncertainty, investor sentiment, and analyst reports

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  • Kim, Karam
  • Ryu, Doojin
  • Yang, Heejin

Abstract

This study investigates the relationships among information uncertainty, investor sentiment, analyst reports, and stock returns in a unified framework. The effects of analyst reports on stock returns depend on the degrees of information uncertainty, indicating that recommendation upgrades (downgrades) convey more valuable positive (negative) information under higher information uncertainty. Such stock market reactions are significantly explained by investor sentiment when information uncertainty is high. Our empirical findings are robust to changes in abnormal return measures and information uncertainty proxies.

Suggested Citation

  • Kim, Karam & Ryu, Doojin & Yang, Heejin, 2021. "Information uncertainty, investor sentiment, and analyst reports," International Review of Financial Analysis, Elsevier, vol. 77(C).
    • Handle: RePEc:eee:finana:v:77:y:2021:i:c:s105752192100168x
    DOI: 10.1016/j.irfa.2021.101835
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