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

Posted: 14 Jun 2005

See all articles by Peter Antunovich

Peter Antunovich

Morgan Stanley Dean Witter & Co. Inc.

Asani Sarkar

Federal Reserve Bank of New York

Multiple version iconThere are 2 versions of this paper

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.

Keywords: Liquidity externality, Internet stock picks, market efficiency

JEL Classification: G10, G14

Suggested Citation

Antunovich, Peter and Sarkar, Asani, Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks. Journal of Business, Vol. 79, No. 6, pp. 3209-51, November 2006, Available at SSRN: https://ssrn.com/abstract=743325

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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