Investors’ Greed and Fear: An Event Study of Analyst Recommendations

We investigate the effect of the skewness developed by the CBOE, called SKEW, on investors’ reactions to analyst recommendations. Our results show that the abnormal stock returns around analyst recommendation revisions are closely correlated with contemporaneous SKEW changes. Specifically, positive (negative) abnormal returns following analyst recommendation upgrades (downgrades) are stronger when daily SKEW increases (decreases). A potential explanation for this relation is that SKEW captures investors’ greed (excitement) in the stock market. Similar to the CBOE VIX, SKEW might act as another measure to reflect investors’ moods or sentiments. However, in contrast to VIX, which is usually used as investors’ fear gauge, SKEW is the opposite of investors’ fear, measuring investors’ consensus view of future positive news. Furthermore, we show that the magnitudes of abnormal returns associated with the change in SKEW are larger for the NASDAQ than for the NYSE on recommendation announcement days. This may manifest the different types of firms listed on these two stock exchanges

A reverse engineered pitch on Cremers et al. (2015), 'Aggregate jump and volatility risk in the cross-section of stock returns'

This pitching research letter presents the reverse-engineering process and personal reflections on a reverse engineered pitch by utilizing the pitching research template developed by Faff (2015, 2017). The pitch template is a simple and useful tool for helping PhD students and other academic researchers to develop research ideas and enhance communication in the research process. In this letter, I describe the steps and insights during reverse-engineering an existing journal paper into the pitching research template. In summary, I find it is very helpful for me to clearly understand the pitched paper and generate my research idea through applying the pitching research temple