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022 _a03128962
040 _aMSU
_bEnglish
_cMSU
_erda
050 0 0 _aHD31 AUS
100 1 _aBrown, Philip
_eauthor
245 1 0 _aMarket reactions to the reports of a star resource analyst/
_ccreated by Philip Brown, Alexey Feigin, and Andrew Ferguson
264 1 _aLos Angeles :
_bSage,
_c2014.
336 _2rdacontent
_atext
_btxt
337 _2rdamedia
_aunmediated
_bn
338 _2rdacarrier
_avolume
_bnc
440 _aAustralian journal of management
_vVolume 39, number 1,
520 _aKeith Goode has for many years been one of Australia’s highest profile mining analysts. He is unique among them, being a commissioned analyst. Goode’s clients—mostly small cap mining companies with limited analyst coverage—pay for a report, which he publishes electronically, but only if his report is positive. Using reports published over eight years from September 2001, we estimate his clients typically benefit by about AUD$14m, or almost 10% of the company’s share market value, with much of the benefit coming almost immediately after the report’s release. Market liquidity surges in the first hour of trading, with the value of trades, flow of buy orders relative to sells, and level of overall activity all increasing significantly. To demonstrate significance, we develop ‘fractile analysis’, a robust, relatively powerful and quite general method for detecting abnormal market activity. Our study is relevant to day traders, analysts and other information intermediaries. The methodological refinement should also interest students of ‘abnormal’ market behaviour.
650 _aDetecting abnormal market behavior
_vExtractive industries
_xMarket microstructure
700 1 _aFeigin, Alexey
_eco author
700 1 _aFerguson, Andrew
_eco author
856 _uhttps://doi.org/10.1177/0312896212470672
942 _2lcc
_cJA
999 _c168449
_d168449