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Buy-side trades and sell-side recommendations: Interactions and information content
16 references·16 citing·34 second hopsampled
Buy-side trades and sell-side recommendations: Interactions and information content (2011)Buy-side trades and sell-side recommendat…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Are small investors naive about incentives? (2007)Are small investors naive abo…Analyzing the Analysts: When Do Recommendations Add Value? (2004)Analyzing the Analysts: When …Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence (2003)Is Money Really 'Smart'? New …Institutional Herding (2003)Institutional HerdingCan Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns (2001)Can Investors Profit from the…The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers (2000)The Value of Active Mutual Fu…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Measuring Mutual Fund Performance with Characteristic-Based Benchmarks (1997)Measuring Mutual Fund Perform…Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Do Brokerage Analysts' Recomm…Aggregate mutual fund flows and security returns (1995)Aggregate mutual fund flows a…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Are Analyst Short‐Term Trade Ideas Valuable? (2022)Are Analyst Short‐Term Trade …Has local informational advantage disappeared? (2019)Has local informational advan…Analyst Following, Environmental Disclosure and Cost of Equity: Research Based on Industry Classification (2019)Analyst Following, Environmen…Trading Regularity and Fund Performance (2018)Trading Regularity and Fund P…Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes (2018)Trading in the Presence of Sh…Do leveraged ETFs really amplify late-day returns and volatility? (2018)Do leveraged ETFs really ampl…Co-Impact: Crowding Effects in Institutional Trading Activity (2018)Co-Impact: Crowding Effects i…Emotional economic man: Calculation and anxiety in fund management (2017)Emotional economic man: Calcu…Are Some Clients More Equal Than Others? An Analysis of Asset Management Companies’ Execution Costs (2017)Are Some Clients More Equal T…What daily data can tell us about mutual funds: Evidence from Norway (2015)What daily data can tell us a…Do Brokers of Insiders Tip Other Clients? (2015)Do Brokers of Insiders Tip Ot…Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate (2015)Beyond the Square Root: Evide…The influence of buy-side analysts on mutual fund trading (2014)The influence of buy-side ana…Institutions and the turn-of-the-year effect: Evidence from actual institutional trades (2014)Institutions and the turn-of-…The Stock Selection and Performance of Buy-Side Analysts (2013)The Stock Selection and Perfo…Institutional Trades Around Takeover Announcements: Skill vs. Inside Information (2010)Institutional Trades Around T…The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Analyst Forecast Revisions and Market Price Discovery (2003)The Disposition Effect and Underreaction to News (2006)Sell Side School Ties (2008)Does the Stock Market Overreact? (1985)Common risk factors in the returns on stocks and bonds (1993)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Herding and Feedback Trading by Institutional and Individual Investors (1999)Mutual Fund Flows and Performance in Rational Markets (2004)Asset Fire Sales (and Purchases) in Equity Markets (2005)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Multifactor Explanations of Asset Pricing Anomalies (1996)Mutual Fund Flows and Performance in Rational Markets (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)Herding among security analysts (2000)Information content of equity analyst reports (2004)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1996Do Brokerage Analysts' Recommendations Have Investment Value?1,916 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 2001Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns1,100 cited
  • 2004Analyzing the Analysts: When Do Recommendations Add Value?982 cited
  • 2003Institutional Herding898 cited
  • 1995Aggregate mutual fund flows and security returns734 cited
  • 2000The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers731 cited
  • 1997Measuring Mutual Fund Performance with Characteristic-Based Benchmarks580 cited
  • 2007Are small investors naive about incentives?

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545 cited
  • 2003Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence479 cited
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    • 2015Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate90 cited
    • 2017Emotional economic man: Calculation and anxiety in fund management74 cited
    • 2018Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes65 cited
    • 2013The Stock Selection and Performance of Buy-Side Analysts64 cited
    • 2018Trading Regularity and Fund Performance34 cited
    • 2018Co-Impact: Crowding Effects in Institutional Trading Activity33 cited
    • 2018Do leveraged ETFs really amplify late-day returns and volatility?31 cited
    • 2010Institutional Trades Around Takeover Announcements: Skill vs. Inside Information31 cited
    • 2014The influence of buy-side analysts on mutual fund trading30 cited
    • 2019Analyst Following, Environmental Disclosure and Cost of Equity: Research Based on Industry Classification29 cited
    • 2015Do Brokers of Insiders Tip Other Clients?27 cited
    • 2017Are Some Clients More Equal Than Others? An Analysis of Asset Management Companies’ Execution Costs27 cited
    • 2022Are Analyst Short‐Term Trade Ideas Valuable?26 cited
    • 2014Institutions and the turn-of-the-year effect: Evidence from actual institutional trades24 cited
    • 2015What daily data can tell us about mutual funds: Evidence from Norway23 cited
    • 2019Has local informational advantage disappeared?22 cited