Chen Su

We examine the importance of multiple agents’ reputations on the market’s reaction to analysts’ stock recommendation revisions (analyst revisions), individually and interactively, in the UK and Japanese stock markets. We find some notable variations in reputation effects between the two markets. In the UK, analyst reputation amplifies the market’s...

Financial markets play a vital role in shaping corporate behaviour, impacting corporate financial decisions ranging from investment and mergers/acquisitions to payout policies and management renumeration. Financial markets, however, are prone to irrational sentiments to trade, driving prices away from fundamental values, with the potential to disto...

This paper examines the price impact of analyst revisions in distinct economic states around the world. We find stronger average two-day cumulative abnormal returns in bad times, though this pattern is mainly observed in developed countries. In addition, trading strategies following analyst revisions, with holding periods from one to six months, ar...

Our study examines the impact of brokerage house (BH) reputation on the performance of investment strategies following stock recommendation revisions in the UK stock market. We develop two alternative proxies for BH reputation based either on the past positions on the annual Institutional Investor (II) All-Europe Research Team or on the past recomm...

This paper reveals the important role played by brokerage house size in determining the utility of segment data to financial analysts. Brokerage house size is a proxy both for analysts’ access to company managers and for their access to in-house expertise. Using data for large UK firms, we reveal that the shift to International Financial Reporting...

While investor sentiment has been shown to have a robust, direct impact on stock returns, we know little about how it impacts returns through an indirect channel from conditional volatility. We conduct a global study of investor sentiment across 40 international stock markets to examine the impact of investor sentiment on stock returns via both dir...

We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using the consumer confidence index (CCI) as the sentiment proxy, we document a negative relationship between investor sentiment and future stock returns at the global level. While the separation between developed and emerging markets does not disrupt the...

This study conducts a comprehensive investigation into style momentum strategies––the combination of price momentum strategies based on previous mediumterm returns and style investing in terms of firm characteristics––in the China stock market over the period 1994 to 2017. Although we do not find style momentum profits over the first sub-period 199...

In this paper, we test whether foreign exchange (FX) rate and interest rate (IR) risks are priced at short to long return horizons. We also test whether the associated risk premia relate to certain stock characteristics. Our new evidence indicates that risk premia increase with the length of the return horizon and that the risk premium signs depend...

Data mining is quite common in econometric modeling when a given dataset is applied multiple times for the purpose of inference; it in turn could bias inference. Given the existence of data mining, it is likely that any reported investment performance is simply due to random chance (luck). This study develops a time-series bootstrapping simulation...

This study examines the time-varying performance of investment strategies following analyst recommendation revisions in the UK stock market, with specific emphasis on the impact of changing market conditions. We find a negative relationship between the recommendation performance and market conditions as measured in terms of past market return and m...

This study conducts a comprehensive investigation into the investment value of sell-side analyst recommendation revisions in the UK, using a unique dataset from 1995 to 2013. Our rolling window analysis shows that, on average, upgrades fail to generate any significantly positive abnormal returns in any period of time, even before transaction costs....

This paper examines the investment value of financial analysts' advice (earnings forecasts and stock recommendations) to shareholders around two recent bubble periods in the United Kingdom: the dot-com bubble period and the credit bubble period. We find that analysts' advice is valuable at the firm level, as reflected in their recommendations for h...

This study conducts a comparison analysis on the efficiency of bookbuilding and secondary market proportional offering (hereafter, SMP offering) in the China stock market. SMP offering as described in this paper is not a follow-on offering, but an initial offering applicable to investors in the secondary market. Specifically, as a unique type of fi...

We relate derivatives usage to the level of corporate governance/monitoring mechanisms, managerial incentives and investment decisions of UK firms. We find evidence to suggest that the monitoring environment, e.g., board size, influences both currency and interest rate derivatives usage. Managerial compensation plans also influence derivatives usag...

This study examines the impact of investment bank (IB) reputation on the long-term stock price performance of Chinese initial public offerings (IPOs) over the period 1993 to 2010. For comparison purposes, the whole sample period is separated into two sub-periods by the 2001 IPO allocation system reform: the quota system period from January 1st, 199...

We investigate the investment style positioning of UK equity unit trusts (mutual funds) over the 24-year period from 1987 to 2010 and assess if fund manager claims to follow a particular style strategy are evidenced in practice. Generally, UK unit trusts do not, in fact, consistently track declared styles but subject their funds to style switching...

We examine how stock market reforms in China impact the certification role of underwriters in reducing substantial IPO underpricing. In a broad strategy for economic growth, stock market development is seen as crucial but such is the scale of IPO underpricing in China that it calls into question the continued growth in the period leading up to the...

There is substantial evidence to suggest that the book-to-market (BM) ratio is an important factor in explaining stock market returns. Its role has proved difficult to isolate, however, due to statistical problems in its construction and to its observational equivalence to a number of risk and behavioural explanations. In addition, now widely recog...

This study examines initial returns and subsequent long-run performance of Chinese initial public offerings (IPOs) over the period 2001-2008, with specific emphasis on the impact of underwriter reputation. We develop three proxies for underwriter reputation based on either the registered capital of each underwriter, the relative market share, or th...

This study examines the long-run performance of 936 Chinese initial public offerings (IPOs) over the period 1996 to 2005 (the post-issue return evidence ends in June 2008). Using a number of empirical methods, including event-time and calendar-time approaches based on a size and industry matching firm benchmark, we find a significant long-run overp...

This study examines the impact of underwriter reputation on IPO underpricing and long-run performance in the China stock market over the period 2001 to 2006. This sample period is notable for the implementation of a verification and approval system that occurred during it, which provided underwriters more freedom to price IPOs. We develop two alter...