Option Market Efficiency and Analyst Recommendations
研究了期权市场在分析师推荐变更前后的信息含量，发现期权市场的价格和波动率反应能提前预测推荐变更，表明推荐本身的信息量低于预期。
Abstract: This paper examines the information content in option markets surrounding analyst recommendation changes. The sample includes 6,119 recommendation changes for optionable stocks over the period January 1996 through December 2005. As expected, mean underlying asset returns are positive (negative) on days of recommendation upgrades (downgrades). However, volatility levels and shifts prior to recommendation changes explain a significant portion of underlying asset price responses. Ex‐ante price and volatility responses in option markets are linked to increased jump uncertainty risk premia. Our findings suggest information in option markets leads analyst recommendation changes, implying revisions contain less information than previously thought.