Who Are Better Informed Before Analysts’ Forecast Changes?

  • Tae-Jun Park Sungkyunkwan University
  • Sujin Yi Sungkyunkwan University
  • Kyojik "Roy" Song Sungkyunkwan University
Keywords: information asymmetry, investors, korea

Abstract

Using Korean data, we investigate information asymmetry among investors before analysts change their stock recommendations. By comparing trading activities between individuals, institutions, and foreign investors, we find that there is information asymmetry before analysts change their recommendations. Institutional investors buy/sell the stock before recommendation upgrades/downgrades, but individuals and foreign investors do not anticipate the upcoming news. We also document that the trade imbalance of institutional investors are associated with stock returns upon the announcements of recommendation changes. This result indicates that institutions take advantage of their superior information around the recommendation changes.

Author Biographies

Tae-Jun Park, Sungkyunkwan University

PARK, Tae-Jun is Senior Researcher of Korea Capital Market Institute and Adjunct Professor of Sungkyunkwan University. He earned his Ph.D. from Sungkyunkwan University, Seoul, Korea. His research interests are Corporate Finance and Governance, and Financial Institutions. His current research focuses on Informed Trading around Corporate Event. Some of his works have been published in Journal of Banking and Finance, Journal of Business Finance and Accounting, and Asian Review of Financial Research.
    Author’s contact details: Korea Capital Market Institute, 143 Uisadang-daero, Yeongdeungpo-gu Seoul, Korea; E-mail: tjpark@kcmi.re.kr.

Sujin Yi, Sungkyunkwan University

Yi, Sujin is a doctoral student in the Department of Finance, Business School, Sungkyunkwan University, Seoul, Korea. Her research interests are Corporate Finance and Corporate Governance.
    Author’s contact details: Business School, Sungkyunkwan University, 25-2, Sungkyunkwan-ro, Jongno-gu, Seoul, 110-745, Korea; E-mail: roselina@skku.edu.

Kyojik "Roy" Song, Sungkyunkwan University

SONG, Kyojik “Roy” is a Professor of Finance at Business School, Sungkyunkwan University, Seoul, Korea. He earned his Ph.D. from Louisiana State University, Baton Rouge, U.S. His research interests are Corporate Finance and Mutual Funds. Some of his works have been published in Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Financial Management, Journal of Banking and Finance, etc.
    Author’s contact details: Business School, Sungkyunkwan University, 25-2, Sungkyunkwan-ro, Jongno-gu, Seoul, 110-745, Korea; E-mail: roysong@skku.edu.

References

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Published
2014-12-11
How to Cite
Park, T.-J., Yi, S., & Song, K. "Roy". (2014). Who Are Better Informed Before Analysts’ Forecast Changes?. Gadjah Mada International Journal of Business, 16(3), 223-241. Retrieved from https://jurnal.ugm.ac.id/v3/gamaijb/article/view/15477