Market reactions to the reports of a star resource analyst

Philip Brown, Alexey Feigin and Andrew Ferguson
Additional contact information
Philip Brown: Australian School of Business UNSW and UWA Business School, Australia

Australian Journal of Management, 2014, vol. 39, issue 1, 137-158

Abstract: Keith Goode has for many years been one of Australia’s highest profile mining analysts. He is unique among them, being a commissioned analyst. Goode’s clients—mostly small cap mining companies with limited analyst coverage—pay for a report, which he publishes electronically, but only if his report is positive. Using reports published over eight years from September 2001, we estimate his clients typically benefit by about AUD$14m, or almost 10% of the company’s share market value, with much of the benefit coming almost immediately after the report’s release. Market liquidity surges in the first hour of trading, with the value of trades, flow of buy orders relative to sells, and level of overall activity all increasing significantly. To demonstrate significance, we develop ‘fractile analysis’, a robust, relatively powerful and quite general method for detecting abnormal market activity. Our study is relevant to day traders, analysts and other information intermediaries. The methodological refinement should also interest students of ‘abnormal’ market behaviour.

Keywords: Detecting abnormal market behavior; gold; extractive industries; market microstructure; specialist; star analyst (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0312896212470672 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:39:y:2014:i:1:p:137-158

DOI: 10.1177/0312896212470672

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().