Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/60583 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
Staff Report No. 158
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
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
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
680.7 kB





Publikationen in EconStor sind urheberrechtlich geschützt.