The Value of Client Access to Analyst Recommendations
研究发现，券商客户提前获取股票推荐信息能获得超额收益，在推荐发布后快速交易可获平均两天1.02%至1.50%的回报，且机会在盘前发布后两小时内持续存在。
Abstract Early access to stock recommendations provides brokerage firm clients with incremental investment value. After controlling for transaction costs, purchasing (selling) quickly following upgrades (downgrades) results in average two-day returns of 1.02% (1.50%). Short-term profit opportunities persist for two hours following the pre-market release of new recommendations. The results are robust within sub-periods and a calendar-based strategy produces positive abnormal daily returns of over 10 basis points, or roughly 30% annualized. Recommending firms' market makers shift their quotes accordingly, providing indirect evidence that clients make use of the informational advantage that arises from analysts' opinion changes.