Institutional Investors' Behavior and Abnormal Returns around the Analysts' Stock Recommendation Release Events:Evidence from Shanghai Stock Exchange
利用上海证券交易所的机构持股日数据，研究了分析师股票推荐发布前后机构投资者的交易行为，发现存在正反馈交易和羊群行为，短期交易呈现动量投资特征。
As the key participants of the securities market,institutional investors tend to affect the stock price significantly owing to their huge amount of trading.Using event study method in Chen Hong(2006) for reference, the authors apply daily data of institutional holdings from the Shanghai Stock Exchange to analyze institutional investors' behavior around analysts' stock recommendations release events.The paper finds that there is a positive feedback trading,showing herding behavior between institutional investors,and also the short-time trading exhibits a characteristic of momentum investing.