2011
DOI: 10.2139/ssrn.1805462
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Market Reaction to Second-Hand News: Attention Grabbing or Information Dissemination?

Abstract: This paper deals with a long standing issue in finance: weather the market reaction to second-hand information is due to price pressure or dissemination. We take an attention-grabbing perspective as a particular form of price pressure in analysing the market reaction to the dissemination of analysts' recommendations through the press. This perspective allows predicting an asymmetric market reaction to "buy" and "sell" advises, already detected in few other empirical studies, otherwise difficult to rationalize … Show more

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