Fifteen minutes of fame? The market impact of internet stock picks

Peter Antunovich and Asani Sarkar

No 158, Staff Reports from Federal Reserve Bank of New York

Abstract: We examine 120 Nasdaq and Over-the-Counter "buy" recommendations made by Internet sites from April 1999 to June 2001. The stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed about them. For example, liquidity one year after the pick day remains higher for these stocks than for a sample matched according to size, book-to-market value, and liquidity in the preceding year. In addition, after controlling for fundamental and microstructure factors, we find that stocks with lower initial liquidity have greater improvements in liquidity on the pick day. Further, stocks with lower initial liquidity and higher pick-day liquidity have higher pick-day excess returns. These results suggest that stocks have multiple liquidity equilibria, and that the stock picks, by coordinating uninformed trading activity, push initially illiquid stocks to a higher liquidity equilibrium. Finally, we find that stocks with higher initial media exposure enjoy greater liquidity gains and lower excess returns on the pick day.

Keywords: Online stockbrokers; Internet; Stocks; Liquidity (Economics); Stock - Prices (search for similar items in EconPapers)
Date: 2003
New Economics Papers: this item is included in nep-fmk
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Journal Article: Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks (2006)
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