Hidden Bibliographic Details
Other authors / contributors: | University of Chicago. degree granting institution.
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ISBN: | 9781321894929
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Notes: | Advisors: Tobias J. Moskowitz Committee members: George M. Constantinides; Lars P. Hansen; Kelly Shue. This item must not be sold to any third party vendors. Dissertation Abstracts International, Volume: 76-11(E), Section: A. English
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Summary: | This paper documents how the investment decisions of the institutional asset managers are influenced by financial analysts. Specifically, using a simple measure for changes in analyst performance, I find that institutional ownership of stocks continues to move in the same direction of analyst earnings revisions when analysts show improved performance at their forecasts. Under the assumption that a supply of stock shares is constant, changes in analyst performance can also lead to short-run stock price drift following analysts' earnings revisions. This effect is particularly strong for stocks that are mostly held by institutional investors. An event-driven strategy based on this effect yields a weekly alphas of over 31 basis points.
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