We use a proprietary dataset to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publically announced....

Quantitative research analysts (Quants) produce in-depth quantitative and econometric modeling of market anomalies to assist sell-side analysts and institutional clients with stock selection strategies. Quants are associated with more efficient analyst forecasting behavior on anomaly predictors...

This study investigates holidays' effect in analyst recommendations in the MENA countries stock markets between 2004 and 2015. The findings show that on Pre-Holidays, analysts tend to issue pessimistic recommendations, and issue optimistic recommendations on Post- Holidays. Prior literature on...

This study investigates holidays’ effect in analyst recommendations in the MENA countries stock markets between 2004 and 2015. The findings show that on Pre-Holidays, analysts tend to issue pessimistic recommendations, and issue optimistic recommendations on Post- Holidays. Prior literature on...

There is very little research on the topic of buy-side analyst performance, and that which does exist yields mixed results. We use a large sample from both the buy-side and the sell-side and report several new results. First, while the contemporaneous returns to portfolios based on sell-side...

Christophe et al. (2010) find evidence of abnormal short activity prior to analyst downgrades and argue that short sellers may be violating SEC insider-trading laws by trading on information obtained from analysts about upcoming downgrades. However, observing abnormal shorting prior to...

This paper investigates the problem of time stamp errors in the IBES database. We show that IBES did not store the original announcement date of both recommendations and forecasts on U.S. stocks until 2001 and even later for other countries. The announcement date in IBES is often effectively the...

Disclosure rules directly affect the availability of information to investors and therefore influence their choices. Australia has a unique disclosure environment whereby firms are required to immediately disclose any information that could have an effect on the price of the firm’s securities....