Publication Type
Master Thesis
Version
publishedVersion
Publication Date
2009
Abstract
I have documented that target prices subsumed in downgrade recommendations are the most informative while target prices in coverage reiteration are the least informative. The First Call database enables me to extend the analysis to an intraday frequency. Conducting event studies using high frequency data, is even more critical given the advent of information technology systems has dramatically changed the landscape of stock trading. The modified approach to event study is relevant to the fast-changing trading environment in today's capital market. For upgrades, there are significant positive market-adjusted returns lasting 20 minutes; for downgrades, there are significant negative market-adjusted returns lasting 25 to 35 minutes. By constructing portfolios on the basis of target price information measures (TP/P, ΔTP/TP-1 and ΔTP/P), I also document that the information subsumed in target price revision is more useful than target price alone. Furthermore, the dramatic rise in trading activity coupled with a shift in order imbalances implies that the market interprets recommendations with target price changes broadly as a liquidity event. More importantly, I find that target prices are informative both unconditionally and conditionally on the type of recommendations and rating revision at intraday frequency. The investors seek out more information from target price revisions when recommendations are unfavourable.
Degree Awarded
MSc in Finance
Discipline
Portfolio and Security Analysis
Supervisor(s)
GOH, Jeremy
Publisher
Singapore Management University
City or Country
Singapore
Citation
CHEN, Fan.
Information Role of Analysts' Target Prices: Event and Intra-Day Analysis. (2009).
Available at: https://ink.library.smu.edu.sg/etd_coll/21
Copyright Owner and License
Author
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.