Market Structure, Informed Trading, and Analysts' Recommendations
Market Structure, Informed Trading, and Analysts' Recommendations
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市场结构、知情交易和分析师建议
DOI：
10.2307/2331235
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发表时间：
1997
影响因子：
3.9
通讯作者：
M. Slovin
中科院分区：
文献类型：
--
作者：
Sok;Ji;M. Slovin
摘要 我们研究了股票价格行为对初始覆盖率的反应，以及在股市开盘前向重要客户预先发布的买入建议，并发现开盘时存在强烈的正估值效应。平均而言，纽约证券交易所/美国证券交易所股票需要 5 分钟的交易时间，纳斯达克股票需要 15 分钟的交易时间才能反映这些分析师建议中包含的私人信息，因此当信息不对称程度很高时，集中式看涨期权市场比竞争激烈但分散的交易商市场更有效。公开新闻发布使股价保持不变。总体而言，知情交易者之间的竞争导致私人信息迅速融入股票价格。
Abstract We examine stock price behavior in response to initial coverage, buy recommendations that are pre-released to important clients before the stock market opens, and find a strong positive valuation effect at the open. On average, it takes five minutes of trading for NYSE/AMEX stocks and 15 minutes for NASDAQ stocks to reflect the private information contained in these analyst recommendations, so when informational asymmetry is high, the centralized call market is more efficient than a competitive, but fragmented dealer market. Public news release leaves share prices unaltered. Overall, competition among informed traders causes private information to be rapidly incorporated into stock prices.