Market reactions to the financial post's "hot stock" column
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 118-131 |
| Journal / Publication | Canadian Journal of Administrative Sciences |
| Volume | 16 |
| Issue number | 2 |
| Publication status | Published - Jun 1999 |
| Externally published | Yes |
Link(s)
Abstract
We examine the market reaction to recommendations in the Financial Post's "Hot Stock" column. For buy recommendations, we find a significant average excess return of 1.23% on the publication day; the average excess return is greater (1.84%) for small firms. We also document a significant increase in trading volume and in stock price volatility on and immediately prior to the publication day. Finally, we detect a pattern of return reversal within 14 trading days after the publication. Volume and volatility subside to normal levels within the period of time in which reversals occur. We interpret our results as evidence of trading on second-hand public information. © ASAC 1999.
Citation Format(s)
Market reactions to the financial post's "hot stock" column. / Mehrotra, Vikas; Yu, Wayne W.; Zhang, Chu.
In: Canadian Journal of Administrative Sciences, Vol. 16, No. 2, 06.1999, p. 118-131.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
