The Reactions to On-Air Stock Reports: Prices, Volume, and Order Submission Behavior

Chaoshin Chiao, Tung-Ying Lin and Cheng Few Lee

Chapter 36 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives:In 4 Volumes, 2024, pp 1209-1252 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The purpose of this chapter is to analyze the real-time responses of stock prices, volume, and order submission behavior across investor groups to 2,894 on-air stock reports from 9:16 a.m. to 1:15 p.m. during regular trading hours from October 11, 2010 to December 31, 2010 in Taiwan. First, positive (negative) reports move stock prices upward (downward) in real time, accompanied by increasing trading volume. However, the observed price movements are short-lived and vanish 14 days afterward. Second, responding to the reports, individual investors trade more actively and aggressively than institutional investors do. The overreaction of individual investors are responsible for the observed price movements.

Keywords: Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 G3 M41 M42 (search for similar items in EconPapers)
Date: 2024
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