Our study explores the effect of market volatility expectations, captured by the implied volatility index (VIX), aka “investors’ fear gauge,” on investors’ reactions to analyst recommendation revisions. We find that positive (negative) excess returns following recommendation upgrades...

The main goal of this study is to analyse the ability of the implied volatility index (VIX) to incorporate current stock market information that is relevant for the volatility forecasts. Employing historical market volatility, market trading volume and significant stock market returns as...