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Initiation of brokers' recommendations, market predictors and stock returns

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  • Chan, Howard W.H.
  • Brown, Rob
  • Ho, Yew Kee

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  • Chan, Howard W.H. & Brown, Rob & Ho, Yew Kee, 2006. "Initiation of brokers' recommendations, market predictors and stock returns," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 213-231, July.
    • Handle: RePEc:eee:mulfin:v:16:y:2006:i:3:p:213-231
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    References listed on IDEAS

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    1. Ho, Michael J & Harris, Robert S, 2000. "Brokerage Analysts' Rationale for Investment Recommendations: Market Responses to Different Types of Information," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(4), pages 449-468, Winter.
    2. Michael J. Brennan & Claudia Tamarowski, 2000. "Investor Relations, Liquidity, And Stock Prices," Journal of Applied Corporate Finance, Morgan Stanley, vol. 12(4), pages 26-37, January.
    3. Michaely, Roni & Womack, Kent L, 1999. "Conflict of Interest and the Credibility of Underwriter Analyst Recommendations," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 653-686.
    4. John D. Lyon & Brad M. Barber & Chih‐Ling Tsai, 1999. "Improved Methods for Tests of Long‐Run Abnormal Stock Returns," Journal of Finance, American Finance Association, vol. 54(1), pages 165-201, February.
    5. Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-682, June.
    6. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    7. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    8. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    9. Elton, Edwin J & Gruber, Martin J & Grossman, Seth, 1986. "Discrete Expectational Data and Portfolio Performance," Journal of Finance, American Finance Association, vol. 41(3), pages 699-713, July.
    10. Michael J. Ho & Robert S. Harris, 2000. "Brokerage Analysts' Rationale For Investment Recommendations: Market Responses To Different Types Of Information," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(4), pages 449-468, December.
    11. Chan, Howard W. & Faff, Robert W., 2003. "An investigation into the role of liquidity in asset pricing: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 555-572, November.
    12. Charles M.C. Lee & Bhaskaran Swaminathan, 2000. "Price Momentum and Trading Volume," Journal of Finance, American Finance Association, vol. 55(5), pages 2017-2069, October.
    13. Peterson, David R., 1987. "Security Price Reactions to Initial Reviews of Common Stock by the Value Line Investment Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(4), pages 483-494, December.
    14. Demir, Isabelle & Muthuswamy, Jay & Walter, Terry, 2004. "Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 143-158, April.
    15. Narasimhan Jegadeesh & Joonghyuk Kim & Susan D. Krische & Charles M. C. Lee, 2004. "Analyzing the Analysts: When Do Recommendations Add Value?," Journal of Finance, American Finance Association, vol. 59(3), pages 1083-1124, June.
    16. Don Anderson & Anthony Lynch & Nicholas Mathiou, 1990. "Behaviour of CAPM Anomalies in Smaller Firms: Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 15(1), pages 1-38, June.
    17. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1995. "Investment analysis and price formation in securities markets," Journal of Financial Economics, Elsevier, vol. 38(3), pages 361-381, July.
    18. McNichols, M & O'Brien, PC, 1997. "Self-selection and analyst coverage," Journal of Accounting Research, Wiley Blackwell, vol. 35, pages 167-199.
    19. Brad Barber & Reuven Lehavy & Maureen McNichols & Brett Trueman, 2001. "Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns," Journal of Finance, American Finance Association, vol. 56(2), pages 531-563, April.
    20. Stickel, Se, 1990. "Predicting Individual Analyst Earnings Forecasts," Journal of Accounting Research, Wiley Blackwell, vol. 28(2), pages 409-417.
    21. Moyer, R. Charles & Chatfield, Robert E. & Sisneros, Phillip M., 1989. "Security Analyst Monitoring Activity: Agency Costs and Information Demands," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(4), pages 503-512, December.
    22. Stickel, Scott E, 1992. "Reputation and Performance among Security Analysts," Journal of Finance, American Finance Association, vol. 47(5), pages 1811-1836, December.
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    Cited by:

    1. Leonardo Fernandez, 2012. "Price Discovery, Investor Distraction and Analyst Recommendations Under Continuous Disclosure Requirements in Australia," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2012.
    2. Carole Comerton‐Forde & David R. Gallagher & Joyce Lai & Terry Walter, 2011. "Broker recommendations and Australian small‐cap equity fund management," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(4), pages 893-922, December.
    3. Peng W. He & Andrew Grant & Joel Fabre, 2013. "Economic value of analyst recommendations in Australia: an application of the Black–Litterman asset allocation model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 441-470, June.
    4. Balboa, Marina & Gomez-Sala, Juan Carlos & Lopez-Espinosa, German, 2008. "Does the value of recommendations depend on the level of optimism? A country-based analysis," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 405-426, October.

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