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Lookup NU author(s): Dr Chen SuORCiD
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).
This paper examines the price impact of analyst revisions in distinct economic states around the world. We find stronger average two-day cumulative abnormal returns in bad times, though this pattern is mainly observed in developed countries. In addition, trading strategies following analyst revisions, with holding periods from one to six months, are generally more profitable in good times with lower macroeconomic uncertainty, after controlling for market and common risk factors. The profitability, however, disappears or declines substantially after accounting for time-varying risk premia conditioned on lagged macroeconomic information, indicating a reduced information production role played by analysts in recent decades.
Author(s): Su C
Publication type: Article
Publication status: Published
Journal: The Financial Review (Statesboro)
Year: 2023
Volume: 58
Issue: 4
Pages: 887-930
Print publication date: 01/11/2023
Online publication date: 04/07/2023
Acceptance date: 16/06/2023
Date deposited: 05/07/2023
ISSN (print): 0732-8516
ISSN (electronic): 1540-6288
Publisher: Wiley-Blackwell Publishing, Inc.
URL: https://doi.org/10.1111/fire.12357
DOI: 10.1111/fire.12357
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