Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/25455
Title: Does Algorithmic Trading Affect Analyst Research Production?
Authors: Kopita, Anastasia 
Karamanou, Irene 
Panayides, Marios 
Bilinski, Pawel 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Algorithmic trading;Analyst coverage;Earnings forecasts;Stock recommendations
Issue Date: 20-Sep-2021
Source: Financial Management & Accounting Research Conference, 2021, 19-21 September, Paphos, Cyprus
Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3597356
Conference: Financial Management & Accounting Research Conference 
Abstract: We document a causal negative relationship between algorithmic trading (AT) and analyst research production, as captured by a decreased frequency of earnings forecasts and stock recommendations and lower analyst coverage. This is consistent with AT increasing the speed of price discovery, reducing the profitability of trades on analyst research by non-algorithmic traders and, consequently, their demand for analyst investment advice. Supporting evidence shows that the effect of AT on analyst research production is stronger for stock recommendations, which institutions follow primarily for investment decisions, and for forecasts issued before earnings announcements when analysts’ information discovery dominates the information interpretation role. We also find a negative relationship between AT and investment-focused institutional investors such as transient and non-monitoring investors. Our analysis demonstrates that AT can have long-lasting consequences on capital markets, beyond microstructure effects, through its negative effect on firm’s information environment.
URI: https://hdl.handle.net/20.500.14279/25455
DOI: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3597356
Type: Conference Papers
Affiliation : Cyprus University of Technology 
University of Cyprus 
Bayes Business School 
Warwick University 
Publication Type: Peer Reviewed
Appears in Collections:Δημοσιεύσεις σε συνέδρια /Conference papers or poster or presentation

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