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Abstract
I investigate market reactions to a star resource analyst Keith Goode’s recommendations over daily and intraday horizons. Goode is a well known analyst with a strong media presence, specialising in gold and precious metals, and unique in that he is an independent commissioned analyst. In daily analysis, I find size and industry matched mean buy-and-hold abnormal returns of 8.7% over a short run window, mostly coming from gold stock performance. I argue he is a valuable information intermediary in a high information asymmetry setting, being the Australian mining industry. I also contribute to the literature in relation to Development Stage Enterprises (DSE) and analyst ‘learning-by-doing’ (LBD) theory by measuring the differences between performance of recommended stocks partitioned on a DSE-like criterion and on time-based measures of experience. I find no significant results that an alternative informational signal is move valued by DSE-like firms; nor do I find evidence for LBD in relation to this star analyst.
I pose a general, non-parametric method for measuring abnormal values of a wide range of intraday metrics capturing various microstructure features, while controlling for idiosyncratic stock-metric effects. Using this method, I detect abnormal trade frequency, volume, traded value and amount of limit order book activity during the first hour, and trade imbalance during the first 2 hours, of the market opening following Goode’s recommendations. I am unaware of any prior research which measures intraday reactions to analyst recommendations.