Market's Reaction to Analytical Information From Brokerage Institutions: Empirical Evidence From Stock Market in Vietnam

This paper examines the market’s reaction to brokerages’ recommendations on the Vietnamese stock market. The results indicate that stock analysts tend to show a drastically positive bias, with the overwhelming number of optimistic recommendations compared to negative ones. The abnormal rate of return following upscaling recommendations is positive, incremental, and statistically significant from the offered moment to a month later, which is consistent with results from different measures of the standard portfolio. However, the study has not found cogent evidence of the market reaction to downgrading recommendations. This research emphasizes the significant role of analytical information on the stock market in Vietnam, and the implications are discussed based on this study’s findings. The study results are the foundation for investors’ considerations about brokerages’ proposals before their trades.

The Impact of the Covid-19 Crisis on Common Stock Dividend Payout Policy

For many investors, dividends play a key role in evaluating the return of a common stock and the main reason for making the investment. For those investors, dividends are a necessary aspect since they are a vital source of income. But with the Covid-19 pandemic, many corporations have been adversely affected by a global economic slowdown. For publicly traded corporations, depending on its industry, dividends have been sharply affected to the point of either being reduced or suspended indefinitely. Using the Standard and Poor’s 500 stock index as a guide, stock analysts can possibly acquire a better understanding as to how reduced or suspended dividend income will affect different investors. The aim and purpose of this paper is to examine the affect the reduction and suspension of dividends will have as a source of needed income for private investors, pension funds, mutual funds, insurance companies, and real estate investment trusts.

Can Stock Analysts Predict Market Risk? New Evidence from Copula Theory

We assess investment value of stock recommendations from the standpoint of market risk. We match I/B/E/S (Institutional Brokers’ Estimates System) consensus recommendations issued in January 2015 for a cross-section of u.S. public equities with realized volatility of these papers, showing that these recommendations signifcantly correlate with subsequent changes in market risk. Thus, the results indicate that to some extent the analysts can predict an increase or decrease in risk, which can beneft asset management. However, the relationship between the recommendations and the risk is not linear and depends on the specifc recommendation. using a semi-parametric copula model, we fnd recommendation levels to be associated with future changes in volatility. We further fnd this relationship to be asymmetric and most pronounced among the best-rated stocks which experience largest volatility declines. We conduct a trading simulation showing how stock selection based on such ratings can lead to a reduction in portfolio-level value-at-risk.

The role of online freelance stock analysts in correcting overly pessimistic market sentiment

Purpose The purpose of this paper is to examine the role of online freelance stock analysts in correcting mispricing of hard-to-value firms during sentiment-driven market periods. Design/methodology/approach The sample covers 23,758 Seeking Alpha articles obtained for the period between January 2005 and September 2011. The authors use OLS regressions to test the stock market reaction around Seeking Alpha analysts’ reports. The information in online analysts’ reports is measured by the tone of stock articles posted in SeekingAlpha.com (SA). Findings The analysis reveals that the degree of negative tone of their stock articles is related to three-day stock returns around the article posting dates. It further reveals that the relation between these returns and prevailing market sentiment depends on firm-specific susceptibility to the market sentiment. The three-day stock returns are higher during low market sentiment periods for firms that are more susceptible to the market sentiment, hence, harder to value. The tone of the stock articles during low sentiment periods also predicts the news in the forthcoming earnings. Practical implications The findings help stock investors identify value-relevant information provided by online freelance stock analysts, particularly for hard-to-value stocks and during the low market sentiment period. Originality/value This study utilizes a unique dataset obtained from SA. This is the first paper to examine whether online analysts help investors correct potential undervaluation of hard-to-value firms during the low market sentiment period.

Impact of Number of Security Analysts in Liquidity of Brazilian Stocks

<p>This study investigates impacts of sell-side analysts in the liquidity of firm’s shares of Brazilian Capital Markets. Liquidity hypothesis studied by Brennan and Subrahmanyan (1995), Brennan and Tamarowski (2000), Amihud and Mendelson (1986, 2000) and Amihud <em>et al. (</em>1997) defines that an increase in the number of analysts covering a particular stock increases its liquidity causing a positive impact on the stocks prices. This work investigates empirically whether increasing number of securities analysts impacts stock market liquidity, as observed in the American market by Brennan and Tamarowski (2000), using a sample of 179 listed stocks in the Brazilian stock exchange, BM&amp;FBovespa. This work determines liquidity-measuring firm’s Lambda dollar derived by Kyle (1985) and then applying cross section regression of Lambda dollar as dependent variable and number of analysts as independent variable. Results indicate that stock market liquidity increased with number of securities stock analysts in favor of liquidity hypothesis.</p>