'Wall Street Week' : Information or Entertainment?

The purpose of the study we report was to determine the information content of the recommendations made by panelists during 1997 on quot;Wall Street Week with Louis Rukeyser.quot; Using event-study methodology for the short term, we found a statistically significant positive abnormal return of 0.65 percent for the recommendations on the first trading day after the show on Friday. To determine the abnormal long-term (one- and two-year) average holding-period returns, we used two matching processes. Using industry and size matching, we found not only that the portfolio of recommended stocks improved in value during the following eight quarters but that its increase in value was higher than for the matched sample in all eight quarters and statistically significantly higher in half of the eight quarters. Using industry, size, and book-to-market matching, we found similar results. Overall, this study's results suggest that the panelist recommendations have significant information content