Analyst recommendations : exploring the value relevance proposition and liquidity effects

Hartnell, William. (2006). Analyst recommendations : exploring the value relevance proposition and liquidity effects Honours Thesis, School of Economics, The University of Queensland.

       
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Author Hartnell, William.
Thesis Title Analyst recommendations : exploring the value relevance proposition and liquidity effects
School, Centre or Institute School of Economics
Institution The University of Queensland
Publication date 2006
Thesis type Honours Thesis
Total pages 97
Language eng
Subjects 14 Economics
Formatted abstract This thesis examines the value relevance of 'first time' analyst recommendations in terms of price and liquidity impacts of ASX listed stocks between January 1997 and December 2004. The results indicate that the market reaction to different categories of analyst recommendations is significantly asymmetric. The price and liquidity response to strong buy recommendations show evidence consistent with analysts being able to artificially inflate, or 'hype' both short term returns and trade. This is further observed for buy recommendations, but only in the case of liquidity change. Sell and hold recommendations on the other hand provide evidence consistent with analysts having market timing and stock picking ability. Significant post recommendation drift is documented for these classes of recommendations, indicating they have investment value. Further, whilst initial evidence is found suggesting liquidity is significant in explaining abnormal returns at the event, it is subsequently refuted in a two stage least squares framework.
Additional Notes Variant title: Market reactions to analyst recommendations.

 
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Created: Tue, 30 Nov 2010, 12:23:39 EST by Muhammad Noman Ali on behalf of The University of Queensland Library