負け犬は誰だ？ 証券アナリストの格下げにより価値を失う企業の特徴について
2011 年 2011 巻 FIN-007 号 p. 06-
詳細
2011 年 2011 巻 FIN-007 号 p. 06-
We investigate characteristics of firms that lose market value in the post-downgrade period by securities analyst. We found higher pre-downgrade volatility is strongly associated with the negative return in the post-downgrade period. Among high volatility firms, small capitalization stocks and stocks with inferior sentiment are more likely to underperform.
