The parameters of the return process of a firm are determined by two elements—the <italic>natural event structure</italic>, i.e., the process by which nature affects the value of the firm, and the <italic>information structure</italic>, i.e., the process by which information about these events is collected and disseminated to...

We examine how analysts respond to public information when setting stock recommendations. We model the determinants of analysts' recommendation changes following large stock price movements. We find evidence of an asymmetry following large positive and negative returns. Following large stock...