Investment Analysis and the Adjustment of Stock Prices to Common Information
- 1 October 1993
- journal article
- research article
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 6 (4) , 799-824
- https://doi.org/10.1093/rfs/6.4.799
Abstract
In this article we are concerned with the effect of the number of investment analysts following a firm on the speed of adjustment of the firm’s stock price to new information that has common effects across firms. It is found that returns on portfolios of firms that are followed by many analysts tend to lead those of firms that are followed by fewer analysts, even when the firms are of approximately the same size. Many analyst firms also tend to respond more rapidly to market returns than do few analyst firms, adjusting for firm size. This relation, however, is nonlinear, and the marginal effect of the number of analysts on the speed of price adjustment increases with the number of analysts.Keywords
This publication has 13 references indexed in Scilit:
- The Effect of Public Information and Competition on Trading Volume and Price VolatilityThe Review of Financial Studies, 1993
- Long-Lived Private Information and Imperfect CompetitionThe Journal of Finance, 1992
- Stock Prices and the Supply of InformationThe Journal of Finance, 1991
- Latent AssetsThe Journal of Finance, 1990
- Firm characteristics and analyst followingJournal of Accounting and Economics, 1989
- A Theory of Intraday Patterns: Volume and Price VariabilityThe Review of Financial Studies, 1988
- Continuous Auctions and Insider TradingEconometrica, 1985
- Giraffes, Institutions and Neglected FirmsCFA Magazine, 1983
- Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 1973
- Investigating Causal Relations by Econometric Models and Cross-spectral MethodsEconometrica, 1969