Are Analysts’ Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays: Are Analysts’ Recommendations Informative?
暂无分享,去创建一个
Jonathan Clarke | Daniel Bradley | Chayawat Ornthanalai | Suzanne S. Lee | Chayawat Ornthanalai | D. Bradley | Jonathan Clarke | Suzanne Lee
[1] Torben G. Andersen,et al. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications , 2007 .
[2] Bradford D. Jordan,et al. Analyst Behavior Following IPOs: The “Bubble Period” Evidence , 2008 .
[3] Thomas H. McCurdy,et al. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns , 2003 .
[4] Suzanne S. Lee,et al. Jumps and Information Flow in Financial Markets , 2011 .
[5] Markus Schmid,et al. Time Stamp Errors and the Stock Price Reaction to Analyst Recommendation and Forecast Revisions , 2015 .
[6] René M. Stulz,et al. When are Analyst Recommendation Changes Influential? , 2009 .
[7] Kent L. Womack. Do Brokerage Analysts' Recommendations Have Investment Value? , 1996 .
[8] Gregory S. Miller,et al. Assessing Methods of Identifying Management Forecasts: CIG vs. Researcher Collected , 2012 .
[9] L. Ederington,et al. How Markets Process Information: News Releases and Volatility , 1993 .
[10] Adrien Verdelhan,et al. Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market , 2009, Journal of Financial and Quantitative Analysis.
[11] Jean Jacod,et al. Testing for Jumps in a Discretely Observed Process , 2007 .
[12] Sundaresh Ramnath,et al. Financial Analysts’ Forecasts and Stock Recommendations: A Review of the Research , 2010 .
[13] N. Shephard,et al. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation , 2005 .
[14] Narasimhan Jegadeesh,et al. The timing and value of forecast and recommendation revisions , 2004 .
[15] Vadim S. Balashov,et al. Are Analysts’ Forecasts Informative to the General Public? , 2012 .
[16] Jeffrey A. Busse,et al. Market Efficiency in Real-Time , 2001 .
[17] Robert S. Hansen,et al. On the Information Role of Stock Recommendation Revisions , 2009 .
[18] E. Elton,et al. Economic News and Bond Prices: Evidence from the U.S. Treasury Market , 2001, Journal of Financial and Quantitative Analysis.
[19] R. Oomen,et al. Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach , 2007 .
[20] R. C. Merton,et al. Option pricing when underlying stock returns are discontinuous , 1976 .
[21] P. Mykland,et al. Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics , 2008 .
[22] Francis X. Diebold,et al. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange , 2002 .
[23] Ohad Kadan,et al. Conflicts of Interest and Stock Recommendations: The Effects of the Global Settlement and Related Regulations , 2008 .
[24] Campbell R. Harvey,et al. Volatility in the Foreign Currency Futures Market , 1991 .