The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Investment Analysis and the Adjustment of Stock Prices to Common Information
Abstract
In this article we are concerned with the effect of the number of investment analysts following a firm on the speed of adjustment of the firm’s stock price to new information that has common effects across firms. It is found that returns on portfolios of firms that are followed by many analysts tend to lead those of firms that are followed by fewer analysts, even when the firms are of approximately the same size. Many analyst firms also tend to respond more rapidly to market returns than do few analyst firms, adjusting for firm size. This relation, however, is nonlinear, and the marginal effect of the number of analysts on the speed of price adjustment increases with the number of analysts.
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Citations
Cites
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
Cited by
Driven to Distraction: Extraneous Events and Underreaction to Earnings News
HIRSHLEIFER, D., LIM, S. S., & TEOH, S. H. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01501.x · Cited by 1,542
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
Hou, K., & Moskowitz, T. J. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi023 · Cited by 1,083
Industry Information Diffusion and the Lead-lag Effect in Stock Returns
Hou, K. (2007) · Review of Financial Studies · doi:10.1093/revfin/hhm003 · Cited by 601
Arbitrage risk and the book-to-market anomaly
Ali, A., Hwang, L.-S., & Trombley, M. A. (2003) · Journal of Financial Economics · doi:10.1016/s0304-405x(03)00116-8 · Cited by 518
Conrad, J., Cooper, M., & Kaul, G. (2003) · The Journal of Finance · doi:10.1111/1540-6261.00594 · Cited by 120
Metadata
- Authors
- Brennan, M. J., Jegadeesh, N., & Swaminathan, B.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1993-10
- Volume
- 6
- Issue
- 4
- Pages
- 799-824
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W1963815804
- Cited by
- 639
- References
- 1
- FWCI
- 7.27
- Type
- journal article
- Language
- en
- Open access
- closed
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- Brennan, M. J., Jegadeesh, N., & Swaminathan, B. (1993). Investment Analysis and the Adjustment of Stock Prices to Common Information. Review of Financial Studies. https://doi.org/10.1093/rfs/6.4.799
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
