Because the news report and analyst recommendation on media are the main sources of investing information, especially for retail investors, this paper examines the related issues about TV shows on ETTV and USTV airing during the trading hours in Taiwan. Evidence shows that calendar-time portfolios which go long the positive recommendations and go short the negative recommendations find no significantly positive alpha. Stock recommendations on TV shows constitute attention shocks to a large audience of individual traders and lead to temporary price movement. The size of the mispricing caused by positive recommendations varied considerably in the cross-section. When attention towards the recommendations is high or limits to arbitrage are great, we find much greater mispricing. There is also a positive association between positive recommendation and shorting activity. Alternatively, we observe a clear asymmetry between buy and sell recommendation. The evidence supports the view that an attention shock in the form of a sell recommendation has little effect on returns and shorting.
英文關鍵字
analyst recommendation, attention shock, limit to arbitrage, short selling
