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Short-term effects of analysts recommendations in spanish blue chips returns and trding volumes

Author

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  • Josep García Blandón
  • Josep María Argilés Bosch

Abstract

The purpose of this paper is to investigate the effects of stock recommendations in returns and trading volumes. Unlike previous research we have investigated the five most usual types of recommendations: buy, outperform, hold, underperform and sell. The methodology we propose is also different from previous studies. From our results we conclude that positive (negative) abnormal returns are associated to positive (negative and neutral) recommendations, the day of publication of the recommendation and the day before, but not the day after publication. We also document an asymmetry in the effect of recommendation on the stock trading volume, following the sign of the recommendation.

Suggested Citation

  • Josep García Blandón & Josep María Argilés Bosch, 2009. "Short-term effects of analysts recommendations in spanish blue chips returns and trding volumes," Estudios de Economia, University of Chile, Department of Economics, vol. 36(1 Year 20), pages 33-46, June.
    • Handle: RePEc:udc:esteco:v:36:y:2009:i:1:p:33-46
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    More about this item

    Keywords

    stock recommendations; abnormal returns; trading volumes; price pressure hypothesis; information content hypothesis;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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