The Impact of NASD Rule 2711 and NYSE Rule 472 on Analyst Behavior: The Strategic Timing of Recommendations Issued on Weekends
研究了2002年NASD和NYSE规则要求分析师披露建议分布后，分析师更倾向于在周末发布负面建议，且知名分析师更明显，市场反应不完全，但这类分析师预测更准。
Abstract Amendments to NASD Rule 2711 and NYSE Rule 472, enacted in May 2002, mandate that sell‐side analysts disclose the distribution of their security recommendations by buy, hold and sell category. This regulation enhances the transparency of analysts’ information and mitigates the long‐recognized optimistic bias in their recommendations. However, we find that analysts are more likely to issue sell recommendations or downgrade revisions on weekends when investors have limited attention after these rule changes. This pattern is more pronounced for prestigious analysts, who are more likely to influence stock prices. Market reaction tests reveal an incomplete immediate response and a greater drift to unfavorable recommendations issued on weekends. Finally, analysts who are more likely to release unfavorable recommendations on weekends exhibit higher future forecast accuracy. Our findings suggest that, while these regulatory changes effectively reduce analysts’ optimistic bias, they are also associated with an increased prevalence of a different form of distortion in the capital market.