Effect of investor inattention on price drifts following analyst recommendation revisions

2018 ◽  
Vol 24 (1) ◽  
pp. 348-360
Author(s):  
Andrey Kudryavtsev
Keyword(s):  
Investor Inattention ◽  
Analyst Recommendation ◽  
Recommendation Revisions

Investor attention, analyst recommendation revisions, and stock prices

2017 ◽  
Vol 45 ◽  
pp. 211-223 ◽  
Author(s):  
Venura Welagedara ◽  
Saikat Sovan Deb ◽  
Harminder Singh
Keyword(s):  
Stock Prices ◽  
Investor Attention ◽  
Analyst Recommendation ◽  
Recommendation Revisions

scholarly journals The correlation between stock returns before and after analyst recommendation revisions

2021 ◽  
Vol 66 (228) ◽  
pp. 69-100
Author(s):  
Andrey Kudryavtsev
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Market Model ◽  
Short Period ◽  
Before And After ◽  
Analyst Recommendation ◽  
Experience Recommendation ◽  
Recommendation Revisions

In this study I analyse the correlation between stock returns before and after analyst recommendation revisions. I hypothesise that if a recommendation revision for a given stock takes place after a short period when the stock?s price moves in the opposite direction, it may indicate that the fundamentals that caused the analyst to revise their recommendation are less completely (if at all) incorporated in the stock price, significantly increasing the probability of subsequent post-event price drift. Analysing a large sample of recommendation revisions, I document that both recommendation upgrades and downgrades are followed by significant one-tosix-month price drifts (reversals) if they are preceded by the opposite-sign (same-sign) short-term cumulative abnormal returns. The effect remains significant after accounting for additional relevant company specific (size, Market Model beta, historical volatility) and event-specific (stock?s return and trading volume on the event day, brokerage firm size, analyst experience, recommendation category before the revision, number of categories changed in the revision) factors.

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