Does news or recency build momentum? A study of the 52-week-high price

Tan, Enoch (2015). Does news or recency build momentum? A study of the 52-week-high price Honours Thesis, School of Business, The University of Queensland.

       
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Author Tan, Enoch
Thesis Title Does news or recency build momentum? A study of the 52-week-high price
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2015
Thesis type Honours Thesis
Supervisor Jacquelyn Humphrey
Rand Low
Total pages 122
Language eng
Subjects 1503 Business and Management
Formatted abstract
In our study, we evaluate the extent to which sell-side equity analysts can facilitate market efficiency when there is increasing uncertainty about a stock’s future value. The prevalence of the 52-week-high momentum anomaly, which can be largely attributed to information uncertainty, provides a fertile setting for examining the value and timing of analysts’ earnings forecast revisions. Our study shows that analysts can provide value-relevant signals to investors by picking up indicators of momentum. The ability to identify under- or over-valued stocks suggests that analysts are important intermediaries in the price-continuation momentum effect. However, we also observe a pervasive asymmetric reaction to good and bad news throughout our study that is consistent with incentive-driven reporting and optimistic biases. Nevertheless, analysts’ forecast revisions are informative at different stages
to reconnect stock prices back to their fundamental value.

 
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Created: Wed, 23 Mar 2016, 09:39:57 EST by Susan Peeters on behalf of UQ Business School