Sell‐side analyst recommendation revisions and hedge fund trading before and after regulation fair disclosure

2021 ◽  
Author(s):  
Mustafa Onur Caglayan ◽  
Umut Celiker ◽  
Edward R. Lawrence
Keyword(s):  
Hedge Fund ◽  
Regulation Fair Disclosure ◽  
Fair Disclosure ◽  
Before And After ◽  
Analyst Recommendation ◽  
Recommendation Revisions

Sell-side Analyst Recommendation Revisions and Institutional Trading before and after Regulation FD

2020 ◽  
Author(s):  
Mustafa Onur Caglayan ◽  
Umut Celiker ◽  
Edward R. Lawrence
Keyword(s):  
Institutional Trading ◽  
Before And After ◽  
Regulation Fd ◽  
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.

The Impact of Regulation Fair Disclosure: Trading Costs and Information Asymmetry

CFA Digest ◽  
2004 ◽  
Vol 34 (4) ◽  
pp. 9-10 ◽  
Author(s):  
William A. Trent
Keyword(s):  
Information Asymmetry ◽  
Trading Costs ◽  
Regulation Fair Disclosure ◽  
Fair Disclosure ◽  
The Impact

The Influence of Regulation Fair Disclosure on Firm Financing Decisions

2010 ◽  
Author(s):  
Susan M. Albring ◽  
Monica L. Banyi ◽  
Dan S. Dhaliwal ◽  
Raynolde Pereira
Keyword(s):  
Regulation Fair Disclosure ◽  
Financing Decisions ◽  
Fair Disclosure ◽  
Firm Financing

Regulation Fair Disclosure and Credit Market

2012 ◽  
Author(s):  
Yutao Li ◽  
Anthony Saunders ◽  
Pei Shao
Keyword(s):  
Credit Market ◽  
Regulation Fair Disclosure ◽  
Fair Disclosure

The Efficacy of Regulation Fair Disclosure

2006 ◽  
Author(s):  
Christopher Gadarowski ◽  
Praveen Sinha
Keyword(s):  
Regulation Fair Disclosure ◽  
Fair Disclosure

A Contextual Evaluation of Composite Forecasts of Annual Earnings

2016 ◽  
Vol 19 (03) ◽  
pp. 1650014 ◽  
Author(s):  
Pieter T. Elgers ◽  
May H. Lo ◽  
Wenjuan Xie ◽  
Le Emily Xu
Keyword(s):  
Time Series ◽  
Firm Size ◽  
Predictive Accuracy ◽  
Relative Accuracy ◽  
Regulation Fair Disclosure ◽  
Fair Disclosure ◽  
Time Periods ◽  
Time Specific ◽  
Annual Earnings ◽  
The Impact

This study addresses the impact of firm- and time-specific attributes on the accuracy of composite forecasts of annual earnings, constructed from time-series, price-based, and analysts' forecasts. The attributes examined include firm size, analysts' coverage, and time periods pre-dating and following the implementation of regulation fair disclosure. Our results indicate that the relative accuracy of the composite forecasts is time-specific. In the pre-regulation fair disclosure period, composite forecasts significantly outperform each of the three individual forecast sources. Moreover, the extent of improvement in accuracy of composite forecasts is significantly higher for the smaller and lightly-covered firms. Collectively, these results suggest that the predictive accuracy of composite forecasts is contextual.

Regulation Fair Disclosure and the Credibility of Underwriter Analyst Recommendations

2004 ◽  
Author(s):  
Marcia Millon Cornett ◽  
Hassan Tehranian ◽  
Atakan Yalcin
Keyword(s):  
Analyst Recommendations ◽  
Regulation Fair Disclosure ◽  
Fair Disclosure
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