Investors’ Greed and Fear: An Event Study of Analyst Recommendations

Edited book (chapter)

Wang, Qingxia (Jenny). 2022. "Investors’ Greed and Fear: An Event Study of Analyst Recommendations." Haron, Razali (ed.) Financial Crises - Challenges and Solutions. IntechOpen. pp. 1-17
Chapter Title

Investors’ Greed and Fear: An Event Study of Analyst Recommendations

Book Chapter CategoryEdited book (chapter)
Book TitleFinancial Crises - Challenges and Solutions
Authors
AuthorWang, Qingxia (Jenny)
EditorsHaron, Razali
Page Range1-17
SeriesBusiness, Management and Economics
Chapter Number2
Number of Pages17
Year2022
PublisherIntechOpen
ISBN9781803568669
9781803568676
9781803568683
ISSN2753-894X
Digital Object Identifier (DOI)https://doi.org/10.5772/intechopen.107187
Web Address (URL)https://www.intechopen.com/online-first/83823
Abstract

We investigate the effect of the skewness developed by the CBOE, called SKEW, on investors’ reactions to analyst recommendations. Our results show that the abnormal stock returns around analyst recommendation revisions are closely correlated with contemporaneous SKEW changes. Specifically, positive (negative) abnormal returns following analyst recommendation upgrades (downgrades) are stronger when daily SKEW increases (decreases). A potential explanation for this relation is that SKEW captures investors’ greed (excitement) in the stock market. Similar to the CBOE VIX, SKEW might act as another measure to reflect investors’ moods or sentiments. However, in contrast to VIX, which is usually used as investors’ fear gauge, SKEW is the opposite of investors’ fear, measuring investors’ consensus view of future positive news. Furthermore, we show that the magnitudes of abnormal returns associated with the change in SKEW are larger for the NASDAQ than for the NYSE on recommendation announcement days. This may manifest the different types of firms listed on these two stock exchanges.

Keywordsanalyst recommendation revision, abnormal return, investors’ greed, investors’ fear, SKEW, VIX
ANZSRC Field of Research 2020380204. Panel data analysis
380199. Applied economics not elsewhere classified
380107. Financial economics
Byline AffiliationsCentre for Applied Climate Sciences
Institution of OriginUniversity of Southern Queensland
Permalink -

https://research.usq.edu.au/item/q7wvy/investors-greed-and-fear-an-event-study-of-analyst-recommendations

Log in to edit

Download files

Published Version
Wang QX 2022_Investors Greed and Fear.pdf
License: CC BY
File access level: Anyone

  • 137
    total views
  • 72
    total downloads
  • 2
    views this month
  • 0
    downloads this month

Export as

Related outputs

Improved YOLO v7 for sustainable agriculture significantly improves precision rate for Chinese Cabbage (Brassica pekinensis Rupr.) Seedling Belt (CCSB) detection
Gao, Xiaomei, Wang, Gang, Qi, Jiangtao, Wang, Qingxia (Jenny), Xiang, Meiqi, Song, Kexin and Zhou, Zihao. 2024. "Improved YOLO v7 for sustainable agriculture significantly improves precision rate for Chinese Cabbage (Brassica pekinensis Rupr.) Seedling Belt (CCSB) detection." Sustainability. 16 (11), p. 4759. https://doi.org/10.3390/su16114759
Are Vietnamese coffee farmers willing to pay for weather index insurance?
Lan, Le, Mushtaq, Shahbaz, Wang, Qingxia (Jenny), Barlis, Angelica, Deniau, Aline, Mittahalli Byrareddy, Vivekananda, Anh, Huynh Tan and Swaans, Kees. 2024. "Are Vietnamese coffee farmers willing to pay for weather index insurance?" International Journal of Disaster Risk Reduction. 100. https://doi.org/10.1016/j.ijdrr.2023.104185
Parameter estimation for time-fractional Black-Scholes equation with S &P 500 index option
An, Xingyu, Wang, Qingxia (Jenny), Liu, Fawang, Anh, Vo V. and Turner, Ian W.. 2024. "Parameter estimation for time-fractional Black-Scholes equation with S &P 500 index option." Numerical Algorithms. 95, pp. 1-30. https://doi.org/10.1007/s11075-023-01563-4
An Introduction to Programming Physics-Informed Neural Network-Based Computational Solid Mechanics
Bai, Jinshuai, Jeong, Hyogu, Batuwatta-Gamage, C. P., Xiao, Shusheng, Wang, Qingxia, Rathnayaka, C.M., Alzubaidi, Laith, Liu, Gui-Rong and Gu, Yuantong. 2023. "An Introduction to Programming Physics-Informed Neural Network-Based Computational Solid Mechanics." International Journal of Computational Methods. 20 (10). https://doi.org/10.1142/S0219876223500135
Do Farmers Demand Innovative Financial Products? A Case Study in Cambodia
Wang, Qingxia, Soksophors, Yim, Phanna, Khieng, Barlis, Angelica, Mushtaq, Shahbaz, Rodulfo, Danny and Swaans, Kees. 2023. "Do Farmers Demand Innovative Financial Products? A Case Study in Cambodia." Journal of Risk and Financial Management. 16 (8). https://doi.org/10.3390/jrfm16080353
Large blockholders and stock price crash risk: An international study
Eugster, Nicolas and Wang, Qingxia (Jenny). 2023. "Large blockholders and stock price crash risk: An international study." Global Finance Journal. 55. https://doi.org/10.1016/j.gfj.2022.100799
Financial effects of carbon risk and carbon disclosure: A review
Wang, Qingxia (Jenny). 2023. "Financial effects of carbon risk and carbon disclosure: A review." Accounting and Finance. 63, pp. 4175-4219. https://doi.org/10.1111/acfi.13090
Willingness to Pay for Weather-Indexed Insurance: Evidence from Cambodian Rice Farmers
Wang, Qingxia, Soksophors, Yim, Barlis, Angelica, Mushtaq, Shahbaz, Phanna, Khieng, Swaans, Cornelis and Rodulfo, Danny. 2022. "Willingness to Pay for Weather-Indexed Insurance: Evidence from Cambodian Rice Farmers." Sustainability. 14 (21), pp. 1-17. https://doi.org/10.3390/su142114558
Finite Element Modelling Epoxy/Clay Nanocomposites
Chia, Julian Y. H., Hbaieb, Kais and Wang, Q. X.. 2007. "Finite Element Modelling Epoxy/Clay Nanocomposites." Key Engineering Materials. 334-335, pp. 785-788. https://doi.org/10.4028/www.scientific.net/KEM.334-335.785
Techniques for Efficient Analytical and Simulation Methods in the Prototyping of MEMS Systems
Su, Y., Chong, C. S., Wang, Q. X. and Li, Hua. 2006. "Techniques for Efficient Analytical and Simulation Methods in the Prototyping of MEMS Systems." Leondes, Cornelius T. (ed.) MEMS/NEMS: Handbook Techniques and Applications. United States. Springer. pp. 293-334
Dynamic response of a laminated pipeline on the seabed subjected to underwater shock
Lam, K. Y., Zong, Z. and Wang, Q. X.. 2003. "Dynamic response of a laminated pipeline on the seabed subjected to underwater shock." Composites Part B: Engineering. 34 (1), pp. 59-66. https://doi.org/10.1016/S1359-8368(02)00072-0
Constitutive model development and micro-structural topology optimisation for Nafion hydrogel membranes with ionic clustering
Li, Hua, Yuan, Z., Ng, T. Y., Lee, H. P., Lam, K. Y., Wang, Q. X., Wu, Shunnian, Fu, Jie and Hanes, Justin. 2003. "Constitutive model development and micro-structural topology optimisation for Nafion hydrogel membranes with ionic clustering." Journal of Biomaterials Science: Polymer Edition. 14 (11), pp. 1181-1196. https://doi.org/10.1163/156856203322553428
A variation of local point interpolation method (vLPIM) for analysis of microelectromechanical systems (MEMS) device
Li, Hua, Wang, Q. X. and Lam, K. Y.. 2004. "A variation of local point interpolation method (vLPIM) for analysis of microelectromechanical systems (MEMS) device." Engineering Analysis with Boundary Elements. 28 (10), pp. 1261-1270. https://doi.org/10.1016/j.enganabound.2003.08.008
A novel meshless approach – Local Kriging (LoKriging) method with two-dimensional structural analysis
Lam, K. Y., Wang, Q. X. and Li, Hua. 2003. "A novel meshless approach – Local Kriging (LoKriging) method with two-dimensional structural analysis." Computational Mechanics. 33 (3), pp. 235-244. https://doi.org/10.1007/s00466-003-0524-2
Development of a new meshless — point weighted least-squares (PWLS) method for computational mechanics
Wang, Q. X., Li, Hua and Lam, K. Y.. 2004. "Development of a new meshless — point weighted least-squares (PWLS) method for computational mechanics." Computational Mechanics. 35 (3), pp. 170-181. https://doi.org/10.1007/s00466-004-0611-z
A pseudo-elastic local meshless method for analysis of material nonlinear problems in solids
Gu, Y. T., Wang, Q. X., Lam, K. Y. and Dai, K. Y.. 2007. "A pseudo-elastic local meshless method for analysis of material nonlinear problems in solids." Engineering Analysis with Boundary Elements. 31 (9), pp. 771-782. https://doi.org/10.1016/j.enganabound.2006.12.008
A meshless local Kriging method for large deformation analyses
Gu, Y. T., Wang, Q. X. and Lam, K. Y.. 2007. "A meshless local Kriging method for large deformation analyses." Computer Methods in Applied Mechanics and Engineering. 196 (9-12), pp. 1673-1684. https://doi.org/10.1016/j.cma.2006.09.017
Meshless Simulation of Equilibrium Swelling/Deswelling of PH-Sensitive Hydrogels
Wang, Q. X., Li, H. and Lam, K. Y.. 2005. "Meshless Simulation of Equilibrium Swelling/Deswelling of PH-Sensitive Hydrogels." Journal of Polymer Science Part B: Polymer Physics. 44 (2), pp. 326-337. https://doi.org/10.1002/polb.20698
A nonlinear fluid-structure interaction analysis of a near-bed submarine pipeline in a current
Lam, K. Y., Wang, Q. X. and Zong, Z.. 2002. "A nonlinear fluid-structure interaction analysis of a near-bed submarine pipeline in a current." Journal of Fluids and Structures. 16 (8), pp. 1177-1191. https://doi.org/10.1006/jfls.2002.0463
Development of a novel meshless Local Kriging (LoKriging) method for structural dynamic analysis
Li, Hua, Wang, Q. X. and Lam, K. Y.. 2004. "Development of a novel meshless Local Kriging (LoKriging) method for structural dynamic analysis." Computer Methods in Applied Mechanics and Engineering. 193 (23-26), pp. 2599-2619. https://doi.org/10.1016/j.cma.2004.01.010
Probabilistic failure of a cracked submarine pipeline and subjected to the underwater shock
Lam, K. Y., Zong, Z. and Wang, Q. X.. 2001. "Probabilistic failure of a cracked submarine pipeline and subjected to the underwater shock." Journal of Offshore Mechanics and Arctic Engineering. 123 (3), pp. 134-140. https://doi.org/10.1115/1.1376715
Analysis of microelectromechanical systems (mems) by meshless local kriging (lokriging) method
Wang, Qing Xia, Li, Hua, Lam, Khin Yong and Gu, Yuan Tong. 2004. "Analysis of microelectromechanical systems (mems) by meshless local kriging (lokriging) method." Journal of the Chinese Institute of Engineers. 27 (4), pp. 573-583. https://doi.org/10.1080/02533839.2004.9670905
Modelling stiffness of polymer/clay nanocomposites
Hbaieb, K., Wang, Q. X., Chia, Y. H. J. and Cotterell, B.. 2007. "Modelling stiffness of polymer/clay nanocomposites." Polymer. 48 (3), pp. 901-909. https://doi.org/10.1016/j.polymer.2006.11.062
Analysis of microelectromechanical systems (MEMS) devices by the meshless point weighted least-squares method
Wang, Q. X., Li, Hua and Lam, K. Y.. 2007. "Analysis of microelectromechanical systems (MEMS) devices by the meshless point weighted least-squares method." Computational Mechanics. 40, pp. 1-11. https://doi.org/10.1007/s00466-006-0077-2
Multiscale simulation of coupled length-scales via meshless method and molecular dynamics
Wang, Q. X., Ng, T. Y., Li, Hua and Lam, K. Y.. 2009. "Multiscale simulation of coupled length-scales via meshless method and molecular dynamics." Mechanics of Advanced Materials and Structures. 16 (1), pp. 1-11. https://doi.org/10.1080/15376490802540242
Realized moments and the cross-sectional stock returns around earnings announcements
Wang, Qingxia, Faff, Robert and Zhu, Min. 2022. "Realized moments and the cross-sectional stock returns around earnings announcements." International Review of Economics and Finance. 79, pp. 408-427. https://doi.org/10.1016/j.iref.2022.02.036
Informational content of options around analyst recommendations
Wang, Qingxia, Faff, Robert and Zhu, Min. 2021. "Informational content of options around analyst recommendations." International Journal of Managerial Finance. https://doi.org/10.1108/IJMF-04-2021-0168
A reverse engineered pitch on Cremers et al. (2015), 'Aggregate jump and volatility risk in the cross-section of stock returns'
Wang, Qingxia (Jenny). 2018. "A reverse engineered pitch on Cremers et al. (2015), 'Aggregate jump and volatility risk in the cross-section of stock returns'." Journal of Accounting and Management Information Systems. 17 (1), pp. 178-185. https://doi.org/10.24818/jamis.2018.01010
A new data-driven topology optimization framework for structural optimization
Zhou, Ying, Zhan, Haifei, Zhang, Weihong, Zhu, Jihong, Bai, Jinshuai, Wang, Qingxia and Gu, Yuantong. 2020. "A new data-driven topology optimization framework for structural optimization." Computers and Structures. 239, pp. 1-16. https://doi.org/10.1016/j.compstruc.2020.106310
A coupled numerical approach for nonlinear dynamic fluid‐structure interaction analysis of a near‐bed submarine pipeline
Gu, Y.T. and Wang, Q.. 2008. "A coupled numerical approach for nonlinear dynamic fluid‐structure interaction analysis of a near‐bed submarine pipeline." Engineering Computations: international journal for computer-aided engineering and software. 25 (6), pp. 569-588. https://doi.org/10.1108/02644400810891553
A combined meshfree method and molecular dynamics in the multiscale length simulation
Wang, Q.X., Ng, T.Y., Kam, K.Y., Li, Hua and Fan, X.J.. 2002. "A combined meshfree method and molecular dynamics in the multiscale length simulation." Recent Advances In Computational Science And Engineering. Singapore. World Scientific Publishing. pp. 663–666