EconStor >
Federal Reserve Bank of New York >
Staff Reports, Federal Reserve Bank of New York >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/60583
  
Title:Fifteen minutes of fame? The market impact of internet stock picks PDF Logo
Authors:Antunovich, Peter
Sarkar, Asani
Issue Date:2003
Series/Report no.:Staff Report, Federal Reserve Bank of New York 158
Abstract:We examine 120 Nasdaq and Over-the-Counter buy recommendations made by Internet sites from April 1999 to June 2001. The stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed about them. For example, liquidity one year after the pick day remains higher for these stocks than for a sample matched according to size, book-to-market value, and liquidity in the preceding year. In addition, after controlling for fundamental and microstructure factors, we find that stocks with lower initial liquidity have greater improvements in liquidity on the pick day. Further, stocks with lower initial liquidity and higher pick-day liquidity have higher pick-day excess returns. These results suggest that stocks have multiple liquidity equilibria, and that the stock picks, by coordinating uninformed trading activity, push initially illiquid stocks to a higher liquidity equilibrium. Finally, we find that stocks with higher initial media exposure enjoy greater liquidity gains and lower excess returns on the pick day.
JEL:G00
G14
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

Files in This Item:
File Description SizeFormat
363001549.pdf680.7 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/60583

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.