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Digital Library of the
European Council for Modelling and Simulation |
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Title: |
Financial Analysts Impact On Stock Volatility. A Study On The Pharmaceutical Sector |
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Authors: |
Clara I. Gonzalez, Ricardo Gimeno |
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Published in:
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(2009).ECMS
2009 Proceedings edited by J. Otamendi, A. Bargiela, J. L. Montes, L. M. Doncel
Pedrera. European Council for Modeling and
Simulation. doi:10.7148/2009 ISBN: 978-0-9553018-8-9 23rd
European Conference on Modelling and Simulation, Madrid, June
9-12, 2009 |
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Citation
format: |
Gonzalez, C. I., & Gimeno, R. (2009). Financial Analysts Impact On Stock
Volatility. A Study On The Pharmaceutical Sector. ECMS 2009 Proceedings
edited by J. Otamendi, A. Bargiela,
J. L. Montes, L. M. Doncel Pedrera (pp. 470-478). European Council for Modeling
and Simulation. doi:10.7148/2009-0470-0478 |
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DOI: |
http://dx.doi.org/10.7148/2009-0470-0478 |
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Abstract: |
Financial analysts play a key role in distinguishing
which news are relevant for the valuation of a partic-
ular asset, and the changes in their
recommendations are signals of new information in the market. This paper studies the impact those buy or sell
recommendations have on volatility instead of the traditional focus on
prices. Twenty stocks from pharmaceutical sector in NYSE are daily tracked
for five years along with the recommendations given by financial analysts. We
have modeled stock returns by a Markov Regime Switching model as in (Schaller
and van Norden, 1997) and found two states of low
and high volatilities. We have also found strong evidence that the
probability of being in the estate of high volatility increases when a
Financial Analyst changes his recommendation. |
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