2003, Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks, Staff Reports No. 158, The Federal Reserve Bank of
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@MISC{Antunovich_2003,fifteen,
author = {Peter Antunovich and Morgan Stanley and Dean Witter and Asani Sarkar},
title = {2003, Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks, Staff Reports No. 158, The Federal Reserve Bank of},
year = {}
}
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Abstract
and the Federal Reserve Bank of New York. We thank Michael Emmet and Priya Gandhi for excellent research assistance. The views stated here are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of New York, or the Federal Reserve System. We are responsible for all errors. Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks We examine 120 Nasdaq and Over-the-Counter “buy ” recommendations made by Internet sites from April 1999 to June 2001. The stock picks show substantial short- and long run price and liquidity gains, although no new information is revealed about them. For example, turnover and market value one year after the pick month are higher for these stocks compared to a sample matched by size, book-to-market value, and liquidity. We find that, after controlling for fundamental, microstructure and momentum factors, stocks with lower initial liquidity have greater improvements in liquidity on the pick day. Further, stocks with lower initial liquidity and higher pick-day liquidity have higher pick-day excess returns. These results support the idea that stocks have multiple liquidity equilibria, and that the stock picks, by coordinating uninformed trading activity, push initially illiquid stocks to a higher liquidity equilibrium.
