The Impacts of Analysts’ Recommendation Revisions on Statistical Properties and Power-Law Behavior of Large-Size Trade

Abstract

In this paper, we investigate the dynamics of large-size trades after the recommendation revisions using all A-share stocks data in Chinese stock market. We find the sell-side security analysts’ recommendation revisions (both upgrade and downgrade) do have large-size trades trend effect which means that the large-size trades have persistent change (being larger or smaller) after the recommendation revisions; the downgrade revisions have much greater impacts on large-size trades. We further analyze the large-size trades’ power-law behaviors and the relaxation exponents show that downgrade recommendation revisions have greater impacts on the large-size trade than the upgrade recommendation revisions. The downgrade recommendation revisions have greater impacts on selling order of large-size trades relative to buying orders of large-size trades while the results do not give the consistent evidence that the upgrade recommendation revisions have greater impacts on the buying orders of large-size trades.