 Swedish Stock Recommendations: Information Content or Price Pressure?Erik R. Lidén ()
Multinational Finance Journal, 2007, vol. 11, issue 3-4, 253-285 Abstract: The paper analyzes stock-price reactions to stock recommendations published in printed Swedish media and also trading volumes at and around the publication day, bid/ask spreads, and the post publication drift in recommended stocks for the period 1995 – 2000. Its small size and limited number of actors makes the Swedish stock market an interesting comparison to the U.S. stock markets. The positive publication-day effect for buy recommendations was almost fully reversed after 20 days, supporting the price pressure hypothesis, and the effect for sell recommendations was negative and prices continued to drift down, supporting the information hypothesis. Analysts seem to hand their information to clients before publication, whereas no such information leaking pattern was observed for journalists. The impact to recommendations from journalists was significantly larger than analyst recommendations, implying a tradeoff between the size of pre-publication cumulative abnormal returns and the publication-day effect. Keywords: price pressure hypothesis; information hypothesis; journalists; analysts (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:11:y:2007:i:3-4:p:253-285 Access Statistics for this article Multinational Finance Journal is currently edited by Panayiotis C. Andreou More articles in Multinational Finance Journal from Multinational Finance Journal Contact information at EDIRC. |
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