Using Korean data, we investigate information asymmetry among investors
before analysts change their stock recommendations. By comparing trading
activities between individuals, institutions, and foreign investors, we
find that there is information asymmetry before analysts change their
recommendations. Institutional investors buy/sell the stock before
recommendation upgrades/downgrades, but individuals and foreign
investors do not anticipate the upcoming news. We also document that the
trade imbalance of institutional investors are associated with stock
returns upon the announcements of recommendation changes. This result
indicates that institutions take advantage of their superior information
around the recommendation changes. [ABSTRACT FROM AUTHOR]