Stock (geology)

About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.

Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices

Abstract: This paper documents that mutual funds “herd” (trade together) into stocks with consensus sell-side analyst upgrades, and herd out of stocks with consensus downgrades. This influence of analyst revisions on fund herding is stronger for downgrades, and among managers with greater career concerns. These findings indicate that career-concerned managers are incentivized to follow analyst information, and have a greater tendency to herd on negative stock information, given the greater reputational and litigation risk of holding losing stocks. Further, during the more recent period (when aggregate mutual fund equity ownership is significantly higher), stocks traded by career-concerned herds of fund managers in response to analyst revisions experience a significant same-quarter price impact, followed by a sharp subsequent price reversal. Our evidence suggests that analyst recommendation revisions induce herding by career-concerned fund managers, and that this type of trading has become price-destabilizing with the increasing level of mutual fund ownership of stocks.

The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices

Abstract: The subject of this study is the effect of investors' anticipations of impending informative disclosures on the behavior of option and stock prices. Our approach, introduced in a previous paper (Patell and Wolfson [1979]) and substantially extended here, represents the following significant departure from traditional information content studies. Instead of analyzing security price reactions to announcements, we analyze preannouncement option prices in order to discern investors' beliefs about the range of possible stock price reactions expected to accompany a forthcoming disclosure whose actual content is not yet known.' In the tests reported here, we focus on quarterly earnings announcements as disclosure events whose timing is predictable, and we attempt to detect their systematic influence on the relationship between stock and option prices. Our operational definition of information content emphasizes changes in the variability of common stock returns in response to earnings disclosures. While market efficiency precludes investors from predicting the direction of the stock price change which will accompany a future earnings announcement, it is likely that investors will anticipate increased price variability at the time of disclosure, and indeed, several studies have documented announcement date increases in stock price volatility.

The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis

Abstract: Using a unique dataset including daily and hourly high yield bond transactions prices, we examine the informational efficiency of the corporate bond market relative to the market for the underlying stock. In contrast to previous research utilizing weekly or monthly dealer quotes, we find that stocks do not lead bonds in reflecting firm specific information. We further consider the impact of firm specific information on corporate bond prices by examining price behavior around earnings releases and find that this information is quickly incorporated into both bond and stock prices, even at short return horizons. Finally, we find that measures of market quality are no poorer for the bonds in our sample than for the underlying stocks. Our results suggest that the relative informativeness of high yield bond prices is driven largely by the bonds' liquidity rather than the structure of the dealer market for corporate bonds.