Can Investors Profit from the Stock Recommendations on? the Journalism? Testing Conditional Heteroscedasticity in the Market Model

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题名:	Can Investors Profit from the Stock Recommendations on? the Journalism? Testing Conditional Heteroscedasticity in the Market Model
作者:	Chien-Chih Lin;Feng-Teng Lin;Yi-Hsien Wang
贡献者:	財務金融學系
关键词:	GARCH;Recommendatory Stock;Abnormal Return;Event Study
日期:	2009-11
上传时间:	2010-06-08 05:53:44 (UTC+0)
出版者:	Asia University
摘要:	This study employs an event study using the market model with conditional heteroscedasticity to investigate the effects of media recommendations on the performance of electronics companies listed on the Taiwan Stock Market. The empirical results confirm that investors obtain significantly abnormal returns following different types of information around the announcement date when the news is released. These analytical results provide evidence that the stock market information is frequently leaked in advance of the announcement date and the investors generally adopt a conservative strategy following the release of information regarding a recommended stock.
關聯:	International? Research Journal of Finance and Economics 33:111-119
显示于类别:	[財務金融學系] 期刊論文

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