The Nature of News, Insider Ownership, Stock Price and Stock Returns

摘要

This paper attempts to address the connections among the nature of news, insider ownership, stock price, and stock returns. The empirical studies show that stock price could mislead investors' behavior and enhance the impact of the nature of news on stock returns. Besides, the higher stock price is, the less impact analyst forecast revision would create. This research assumes that investors tend to be over-confident and overestimate their ability to invest when stock price is buoyant, thus ignoring analyst forecast revision. Instead, when stock price declines, the impact of analyst forecast revision would become more significant.