The Determinants of the Stock Price Performance of Analyst Recommendations

Lin, Yaling and Lee, Liang-Chien and Chi, Tsung-Li and Lo, Chen-Chang and Chung, Wai-Shen (2019) The Determinants of the Stock Price Performance of Analyst Recommendations. Asian Social Science, 15 (11). p. 25. ISSN 1911-2017

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This study examines the cross-sectional determinants of the price reaction to analysts’ recommendations disseminated through various type of media and for firms listed in Taiwan stock markets. We measure abnormal returns using the market model of event study. Based on the type of media (traditional media/social media) and the type of exchange (Taiwan Stock Exchange (TWSE)/Taipei Exchange (TPEx)), we classify the combined sample observations into four samples and run quantile regressions to investigate whether the relation will be uniform across various quantile levels. Our results show that the relation between firm characteristics and cumulative abnormal returns is not homogeneous across various quantiles of abnormal returns. Our evidence indicates that in general the relation tends to be stronger for firms at higher performance quantile levels and tends to be more pronounced for TWSE firms. The strongest relation is found for the Traditional/TWSE sample, where the abnormal returns are positively related to insider ownership and prior-period earnings, and negatively related to institutional shareholding and price-to-book ratio for firms in the highest abnormal performance quantile.

Item Type: Article
Subjects: Middle East Library > Social Sciences and Humanities
Depositing User: Unnamed user with email
Date Deposited: 05 Jun 2024 10:19
Last Modified: 05 Jun 2024 10:19

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