Ming-Ti Chiang
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Effects of ambiguity in market reaction to changes in stock recommendations
Mei-Chen Lin , Chen-Yang Lin , Ming-Ti Chiang doi: http://dx.doi.org/10.21511/imfi.14(2-1).2017.08Investment Management and Financial Innovations Volume 14, 2017 Issue #2 (cont. 1) pp. 226-241
Views: 912 Downloads: 196 TO CITE АНОТАЦІЯThis study uses analyst recommendations and three ambiguity proxies, namely ambiguity in fundamentals, ambiguity in information and market ambiguity, to examine market reaction to recommendation changes in the Taiwanese stock market. The authors find that analysts’ recommendation changes have positive effects on subsequent buy-and-hold abnormal returns when market ambiguity is moderate. When ambiguity in fundamentals is low, recommendation changes have a positive influence on smaller firms. The effect of ambiguity in information on stock returns is associated with market ambiguity; market ambiguity is negatively associated with abnormal returns for firms with moderate ambiguity in fundamentals. Investors in a small firm rely more on analyst recommendations.