Market reactions to the financial post's "hot stock" column

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)118-131
Journal / PublicationCanadian Journal of Administrative Sciences
Volume16
Issue number2
Publication statusPublished - Jun 1999
Externally publishedYes

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 ReviewsRGC 21 - Publication in refereed journalpeer-review