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Author: Germán López Espinosa Publisher: LAP Lambert Academic Publishing ISBN: 9783838314808 Category : Languages : en Pages : 64
Book Description
This book examines the value of stock recommendations issued by financial analysts for the the period 1994-2003, using data from JCF Quant. In every month of the sample period, stocks are classified into three portfolios, and studied first by consensus recommendation level and then by changes of consensus level. Returns from the recommendation portfolios are estimated using different models in the context of the portfolio calendar-time methodology. The results obtained show that sell-side analysts are able to detect profitable investment opportunities. Investors may obtain significant positive risk-adjusted abnormal returns constructing a hedge portfolio, buying the best-recommended assets and simultaneously selling the worst consensus stocks. However, a portion of these returns could be attributed to their tendency to recommend the acquisition of big "value" stocks and the sale of small shares with negative price momentum. Finally, the value of an analyst's recommendations is independent of the level of information on the firm, expressed by company size or the number of analysts covering each firm.
Author: Germán López Espinosa Publisher: LAP Lambert Academic Publishing ISBN: 9783838314808 Category : Languages : en Pages : 64
Book Description
This book examines the value of stock recommendations issued by financial analysts for the the period 1994-2003, using data from JCF Quant. In every month of the sample period, stocks are classified into three portfolios, and studied first by consensus recommendation level and then by changes of consensus level. Returns from the recommendation portfolios are estimated using different models in the context of the portfolio calendar-time methodology. The results obtained show that sell-side analysts are able to detect profitable investment opportunities. Investors may obtain significant positive risk-adjusted abnormal returns constructing a hedge portfolio, buying the best-recommended assets and simultaneously selling the worst consensus stocks. However, a portion of these returns could be attributed to their tendency to recommend the acquisition of big "value" stocks and the sale of small shares with negative price momentum. Finally, the value of an analyst's recommendations is independent of the level of information on the firm, expressed by company size or the number of analysts covering each firm.
Author: Brad M. Barber Publisher: ISBN: Category : Languages : en Pages : 47
Book Description
In this paper we document that an investment strategy based on the consensus (average) analyst recommendations of security analysts earns positive returns. For the period 1986-1996, a portfolio of stocks most highly recommended by analysts earned an annualized geometric mean return of 18.8 percent, while a portfolio of stocks least favorably recommended earned only 5.78 percent. (In comparison, an investment in a value-weighted market index earned an annualized geometric mean return of 14.5 percent.) Alternatively stated, purchasing stocks most highly recommended yielded a return of 102 basis points per month. The magnitude of this return is surprisingly large, and is far greater than the size effect (negative 16 basis points) and book-to-market effect (17 basis points) for the same period. Even after controlling for these two effects, as well as for price momentum, we show that the strategy of purchasing stocks most highly recommended and selling short those least favorably recommended yielded a return of 75 basis points per month. These results are robust to partitions by time period and overall market direction, and are most pronounced for small and medium-sized firms. The abnormal returns also persist when we allow a lapse of up to 15 days before acting on the investment recommendations. There is no extant theory of asset pricing that explains these results.
Author: Eric Shkolnik Publisher: McGraw Hill Professional ISBN: 0071415653 Category : Business & Economics Languages : en Pages : 241
Book Description
Proven strategies for knowing which stock analysts to believe, which to ignoreand when to sell Investors are tired of losing money to the bad calls and noncalls of Wall Street analysts, especially on the heels of Enron and other "surprise" stock meltdowns. Instead of giving up, When Buy Means Sell presents an innovative, market-tested system for knowing which recommendations to trust, sniffing out conflicts of interest, and making buy and sell decisions based on valuable, impartial information. The first fresh approach to this age-old problem, When Buy Means Sell shows investors how to make sense ofand profit fromwhat Wall Street analysts are really saying, by revealing: Who the real prophets arefrom individual stars to leading firms How to read analyst calls like an insider Where to find the truly valuable information
Author: Michael S. Drake Publisher: ISBN: Category : Languages : en Pages : 46
Book Description
We investigate whether shorts and analysts differ in their use of fundamental and other information that is predictive of future returns. Remarkably, open short interest is significantly associated in the expected direction with all eleven variables examined. In contrast, analysts tend to positively recommend stocks with high growth, high accruals, and low book-to-market ratios -- despite these variables having a negative association with future returns. These results suggest that short sellers can serve as an alternative information intermediary for investors. We then investigate the profitability of using short interest in trading. We find abnormal returns (1.11 percent per month) from a zero-investment strategy that 1) shorts firms with highly favorable analyst recommendations (buy signal) but high short interest (sell signal), and 2) buys firms with highly unfavorable analyst recommendations (sell signal) but low short interest (buy signal). Short interest, therefore, captures predictive information that can be used by investors in trading against analysts' recommendations to increase returns.
Author: James Valentine Publisher: McGraw Hill Professional ISBN: 0071736395 Category : Business & Economics Languages : en Pages : 465
Book Description
The first real-world guide for training equity research analysts—from a Morgan Stanley veteran Addresses the dearth of practical training materials for research analysts in the U.S. and globally Valentine managed a department of 70 analysts and 100 associates at Morgan Stanley and developed new programs for over 500 employees around the globe He will promote the book through his company's extensive outreach capabilities
Author: Brad M. Barber Publisher: ISBN: Category : Languages : en Pages : 19
Book Description
After a string of years in which security analysts' top stock picks significantly outperformed their pans, the year 2000 was a disaster. During that year the stocks least favorably recommended by analysts earned an annualized market-adjusted return of 48.66 percent while the stocks most highly recommended fell 31.20 percent, a return difference of almost 80 percentage points. This pattern prevailed during most months of 2000, regardless of whether the market was rising or falling, and was observed for both tech and non-tech stocks. While we cannot conclude that the 2000 results are necessarily driven by an increased emphasis on investment banking by analysts, our findings should add to the debate over the usefulness of analysts' stock recommendations to investors. They should also serve to alert researchers to the possibility that excluding the year 2000 from their sample period could have a significant impact on any conclusions they draw concerning analysts' stock recommendations.
Author: Philip Jenks Publisher: FT Press ISBN: 0130094013 Category : Business & Economics Languages : en Pages : 514
Book Description
Profiles of 150 successful fund managers, traders, analysts, economists, and investment experts offer advice, techniques, and ideas to increase returns and control risks in investing. Some of the areas of specialty discussed include international markets and capital flows, company valuation, liquidi
Author: Sung Jun Park Publisher: ISBN: Category : Languages : en Pages : 23
Book Description
This paper revisits the question of whether investors can benefit from consensus recommendations of stock market analysts in US equity markets. To examine the profitability net of transactions cost, we calculate transactions cost based on effective tick spread. We find that transactions cost becomes noticeably lower from 2001 and the strategy of purchasing 'strong buy' stocks and shorting 'strong sell' stocks yields the abnormal returns of 4.7-5.8% per year during the period of 2001-2016, even after accounting for transactions cost. We also find that 'strong buy (sell)' stocks are growth (value) firms and short-term winners (losers). We discuss our empirical results in the context of market efficiency.
Author: Germán López Espinosa
Author: Germán López Espinosa
Author: Brad M. Barber
Author: Brad Barber
Author: 
Author: Eric Shkolnik
Author: Michael S. Drake
Author: James Valentine
Author: Brad M. Barber
Author: Philip Jenks
Author: Sung Jun Park