Theory suggests that the informativeness of price at the time of an earnings announcement increases with the number of informed traders who possess superior information to process news from firm disclosures (Kyle 1985; Admati and Pfleiderer 1988; Kim and Verrecchia 1994). In this paper, we investigate...

This paper presents a Heterogeneous Agent Model of a financial market with chartist and fundamentalist traders that exhibit bounded rationality and short-term thinking to explain the effect of under and overreaction to news. The existence of the Market Maker's finite price adjustment speed and...

Using a large database of analysts' target prices and recommendations issued over the period 1999-2011, this paper documents the presence of inconsistencies between recommendation and implied return in the sell-side analysts' target prices, and analyzes its impact on market prices. In...

We document that textual discussions in a sample of 363,952 analyst reports provide information to investors beyond that in the contemporaneously released earnings forecasts, stock recommendations, and target prices, and also assist investors in interpreting these signals. Cross-sectionally, we...

This paper investigates the effects of analyst recommendations issued after a merger announcement on deal completion. We find the probability of completion increases (decreases) with the favorability of acquirer (target) recommendations. Results from instrumental variables tests support...

How stock markets react to news is an established area of research. We examine the behaviour of the Saudi Stock market (SSM) in response to earnings announcements where there are no analysts' forecasts, with the aim of examining the efficiency of the market. We conduct sector-level analysis to...

Recent literature documents that analyst recommendations tend to coincide with important corporate events, but offers mixed evidence on whether such recommendations have added value. In this paper, we use jump in stock price as a proxy for generic corporate “information event” and examine...

Not all stock recommendation changes are equal. In a sample constructed to minimize the impact of confounding news, relatively few analyst recommendation changes are influential in the sense that they impact investors' beliefs about a firm in a way that could be noticed in that firm's stock...

We study earnings per share (EPS) forecast revision and accuracy of banking analysts around operational risk event announcements in U.S. banks. We find that first announcements of operational risk events are more informative than their settlement announcements. Optimistic banking analysts revise...

Using the first and recently available universe of dark pool trading in the U.S. from FINRA, we document trading patterns around scheduled and unscheduled corporate information events. We find that there is more trading in dark pools in the week of earnings announcement as well as analyst...