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Journal article
Option market efficiency and analyst recommendations
Journal of Business Finance & Accounting, Vol.37(5 & 6), pp.560-590
37
2010
Web of Science ID: WOS:000279838100004
Abstract
This paper examines the information content in option markets surrounding analyst recommendation changes. The sample includes 6,119 recommendation changes for optionable stocks over the period January 1996 through December 2005. As expected, mean underlying asset
returns are positive (negative) on days of recommendation upgrades (downgrades). However, volatility levels and shifts prior to recommendation changes explain a significant portion of underlying asset price responses. Ex-ante price and volatility responses in option markets are
linked to increased jump uncertainty risk premia. Our findings suggest information in option markets leads analyst recommendation changes, implying revisions contain less information than previously thought.
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Details
- Title
- Option market efficiency and analyst recommendations
- Publication Details
- Journal of Business Finance & Accounting, Vol.37(5 & 6), pp.560-590
- Resource Type
- Journal article
- Publisher
- Wiley-Blackwell Publishing Ltd.; United Kingdom
- Series
- 37
- Copyright
- © 2010 Blackwell Publishing Ltd,
- Identifiers
- WOS:000279838100004; 99380090635706600
- Academic Unit
- Accounting and Finance; Lewis Bear Jr. College of Business
- Language
- English