of “buy.” The initial reaction by the market to the news of a new sell rec-
ommendation is, on average, large and negative. Depending on the bench-
mark used, stocks given “sell” ratings by analysts average a decline of 3 to
4 percent in the three-day window around the announcement. Even more
significant, however, is the post-event decline. Depending on the bench-
mark used, stocks with new sell recommendations declined an additional 4
to 7 percent on average over the six-month period after the event.
MARKET EFFICIENCY AND BIASES 391
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tions Have Investment Value? The Journal of FinanceL1 (no.1):137–67.