We explore how analyst recommendation changes affect a security's trading volume at the market maker of the analyst's own firm. Using Nasdaq PostData, we find a dramatic increase in trading volume handled by the market maker of the analyst's firm relative to other market makers on recommendation...

We rely on recently developed general equilibrium asset pricing models, from which we derive some predictions about how heterogeneity of beliefs affects return and volatility dynamics. The first contribution of our paper is the derivation of a simple decomposition of the conditional stock...

We study how heterogeneous beliefs affect returns and examine whether they are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected earnings (short-term and long-term) and show they...

We study asset pricing in economies featuring both risk and uncertainty. In our empirical analysis, we measure risk via return volatility and uncertainty via the degree of disagreement of professional forecasters, attributing different weights to each forecaster. We empirically model the typical...

In this study, we attempt to add some clarification to the ongoing debate of REITs. While REITs have some characteristics similar to those of common stocks, they behave fundamentally different from stocks in general. Using a matched sample comparison, we find that REITs have lower return...

This paper explores the impact of analyst investment recommendations on intra-daily stock returns and volatility when those recommendations are conditioned on the release of public news. Using a sample of 3,679 recommendations of computer and computer-related firms, we investigate differences in...

Prior studies have documented that abnormal returns are earned by following security analysts' investment recommendations (Womack (1996), Kim, Lin, and Slovin (1997)). This paper explores the impact of analyst investment recommendations on intraday stock returns when those recommendations are...