Scandinavian Working Papers in Economics
Working Papers in Economics,
University of Gothenburg, Department of Economics
No 230: Ten Years of Misleading Information - Investment Advice in Printed Media
Erik R. Lidén () and Markus Rosenberg ()
Additional contact information
Erik R. Lidén: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: Box 640, SE 40530 GÖTEBORG
Markus Rosenberg: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: Box 640, SE 40530 GÖTEBORG
Abstract: This paper analyzes the returns to stock recommendations published in eleven well-known Swedish morning newspapers, tabloids, business newspapers and magazines during the period 1995-2004 prior to, at the time of, and for up to a year after the recommendation was published. The sample size of 5,190 buy recommendations and 851 sell recommendations by far makes it the most comprehensive study of stock recommendations in the printed media to this date. Buy recommendations are found to insignificantly underperforming the risk-replicating portfolio by almost two percentage points for the year after they were published. Buy's of small- firm stocks outperform the risk-replicating portfolio whereas medium- and large-sized firms underperforms. Unique buy recommendations perform better than repeated ones. Sell-recommended stocks underperform stocks with the same riskiness. However, readers could not profit from them because they actually increase in value.
Keywords: Stock recommendations; effcient market hypothesis; printed media; initiations; information asymmetry
34 pages, November 30, 2006
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