Swedish Stock Recommendations: Information Content or Price Pressure?

Erik R. Lidén (erik.liden@economics.gu.se)
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Erik R. Lidén: Department of Economics, School of Economics and Commercial Law, Göteborg University, Postal: Box 640, SE 405 30 GÖTEBORG

No 98, Working Papers in Economics from University of Gothenburg, Department of Economics

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)
JEL-codes: G10 G14 G20 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2003-05-11, Revised 2004-11-19
New Economics Papers: this item is included in nep-cfn, nep-eec and nep-fin
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