CEU Electronic Theses and Dissertations, 2023
| Author | Xu, Yu |
|---|---|
| Title | Limited Investor Attention and Capital Market Reaction to Analyst Reports |
| Summary | With the rapid development of the Chinese securities industry, the field of securities analysis and analyst reports have experienced significant growth. The abundant information derived from the surge in analyst reports raises the question of whether there is a post-announcement drift similar to the market reaction to earnings announcements, given the limited attention of investors, and whether the stock market's short-term and long-term response to analyst reports change as a result. In the paper, I select analyst ratings reports from the Chinese capital market during the period of 2016-2018 as the research sample. Then I conduct univariate analysis based on competitive information and market reactions to analyst reports, as well as multivariate regression analysis. The findings reveal that the more analyst reports released on the same day, indicating a higher level of competitive information, the less sensitive the stock market’s immediate response to the analyst reports becomes. Moreover, post-report drift and delayed reactions are exacerbated. Furthermore, I conduct further research on the heterogeneous market reactions between own holdings and other stocks, and the results indicate that investors exhibit stronger sensitivity to analyst reports of the stocks they hold, leading to a reduction in post-report drift. |
| Supervisor | András Danis |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2023/xu_yu.pdf |
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