Using a comprehensive dataset that distinguishes the buy/sell volume of four investor types, we find that foreign institutions and domestic mutual funds are the primary users of analyst reports. Their buy–sell imbalances move in tandem with analysts' signals and significantly explain the size of cumulative abnormal returns across incidents of analyst report releases. Proprietary traders' buy/sell positions are less related to analyst opinions, and individual investors emerge as de facto liquidity providers to aggressive institutions. Institutional investors respond first to stock recommendations and then use target prices as supplementary information. Earnings forecasts, which contain nuanced information, do not elicit abnormal trade imbalances for any institutional investors. We further discover that trade reactions to target prices and earnings forecasts can be viewed more as a constant multiplier of the signal rather than as an increasing or decreasing function of the signal strength. The trade imbalance caused by analyst information is found to predict next-period stock returns, although the predictive ability is for the short-term period only.

使用能够区分四种投资者类型的买卖量的综合数据集，我们发现外国机构和国内共同基金是分析师报告的主要用户。他们的买卖失衡与分析师的信号同步，并在很大程度上解释了在分析师报告发布事件中累积的异常收益的规模。专有交易员的买/卖头寸与分析师的意见关系不大，个人投资者事实上已经出现向激进机构提供流动性提供者。机构投资者首先对库存建议做出反应，然后将目标价格用作补充信息。包含细微差别的信息的收益预测不会引起任何机构投资者的异常贸易失衡。我们进一步发现，对目标价格和收益预测的贸易反应可以更多地视为信号的乘数，而不是信号强度的增加或减少。尽管预测能力仅针对短期，但发现由分析师信息引起的贸易失衡可以预测下一时期的股票收益。