Event study analysis application for testing of the information value of analyst recommendations on Russian public companies

Abstract

Authors:  Anastasia Andreevna Pogozheva

This article provides description of the event study analysis and its application for testing of the information value of analyst reports that are issued by brokerage firms on Russian public companies. Event study method allows to evaluate abnormal return that exists due to issuance of new analyst recommendation change in the short-term. Results of the empirical research show that quotes of Russian stocks statistically significantly increase as a result of recommendation upgrade by investment analyst during 2-3 days after the event and statistically significantly decrease as a result of recommendation downgrade. These results are robust for different data subsets and are consistent as for MICEX stock exchange so for London stock exchange.