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Financial Analysts and Speculative Bubble in Emerging Stock Market

主讲人: Chi-Wen Jevons Lee
主讲人简介: Chi-Wen Jevons Lee
(Tulane University and Zhejiang University)
简介: This paper examines the speculative bubble regularly set off by financial analysts in China. We document significant positive two-day excess returns right before analyst’s buy recommendation and then significant reversals afterward. The securities with greater initial price rise suffer greater subsequent reversals. After controlling the structure of analyst market, we find that the initial price rise and subsequent reversal are positively correlated with the liquidity of the security. Due to the peculiar trading restriction, we find a way to document naive trader’s behavior. Our results suggest that analyst’s recommendations incite intensive noise trading by naive investors as well as convey fundamental information. Thinness of market and associated illiquidity create bubble and profitable trading opportunity for informed traders. This research captures the rare episode of speculative bubbles associated with market learning toward information efficiency.
时间: 2008年9月15日(周一)上午10:00-11:30
地点: 经济楼D110
类型: 独立讲座
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