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Analyzing the analysts: When do recommendations add value?
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DOI：10.1111/j.1540-6261.2004.00657.x.png)
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摘要
En 中文
We show that analysts from sell-side firms generally recommend glamour (i.e., positive momentum, high growth, high volume, and relatively expensive) stocks. Naive adherence to these recommendations can be costly, because the level of the consensus recommendation adds value only among stocks with favorable quantitative characteristics (i.e., value stocks and positive momentum stocks). In fact, among stocks with unfavorable quantitative characteristics, higher consensus recommendations are associated with worse subsequent returns. In contrast, we find that the quarterly change in consensus recommendations is a robust return predictor that appears to contain information orthogonal to a large range of other predictive variables.
Keyword:
DISCRETE EXPECTATIONAL DATA
STOCK RETURNS
PORTFOLIO PERFORMANCE
FORECAST REVISIONS
COMMON-STOCKS
CROSS-SECTION
EARNINGS
INVESTMENT
STRATEGIES
ANOMALIES
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期刊
IF:
9.5
论文数:
4.0K
被引数:
5.0W
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Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns.png)
JOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
PREAI
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