Abstract

http://ssrn.com/abstract=334761
 
 

Citations (3)



 


 



Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks


Peter Antunovich


Morgan Stanley Dean Witter & Co. Inc.

Asani Sarkar


Federal Reserve Bank of New York

Janury 2005

Staff Report No. 158, January 2003
AFA 2003 Washington, DC Meetings

Abstract:     
We examine 120 Nasdaq and Over-the-Counter "buy" recommendations made by Internet sites from April 1999 to June 2001. The stock picks show substantial short and long run price and liquidity gains, although no new information is revealed about them. For example, one year after the pick month, turnover is higher for these stocks compared to a sample matched by size, book-to-market value, and liquidity. We find that, after controlling for fundamental and microstructure factors, stocks with lower initial liquidity have proportionately greater improvements in liquidity on the pick day. Further, stocks with lower initial liquidity and higher pick-day liquidity have higher pick-day excess returns. These results support the idea that stocks have multiple liquidity equilibria, and that the stock picks, by coordinating uninformed trading activity, push initially illiquid stocks to a higher liquidity equilibrium.

Number of Pages in PDF File: 56

Keywords: liquidity externality, internet stock picks

JEL Classification: G10, G14

working papers series





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Date posted: September 29, 2002  

Suggested Citation

Antunovich, Peter and Sarkar, Asani, Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks (Janury 2005). Staff Report No. 158, January 2003; AFA 2003 Washington, DC Meetings. Available at SSRN: http://ssrn.com/abstract=334761 or http://dx.doi.org/10.2139/ssrn.334761

Contact Information

Peter Antunovich
Morgan Stanley Dean Witter & Co. Inc. ( email )
1585 Broadway
New York, NY 10036
United States
Asani Sarkar (Contact Author)
Federal Reserve Bank of New York ( email )
Research Department
33 Liberty Street
New York, NY 10045
United States
212-720-8943 (Phone)
212-720-1582 (Fax)
HOME PAGE: http://www.newyorkfed.org/research/economists/sarkar/pub.html
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