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Author: Yogesh Kumar Chauhan Publisher: ISBN: Category : Languages : en Pages :
Book Description
The paper studies the impact of buy and sell recommendations issued by analysts on the stock prices of companies listed on the National Stock Exchange (NSE) of India. Event study methodology is used to compute the abnormal returns around the event window, which is taken as -10 to 10. The study finds that buy recommendations issued by analysts on public domains help the investors generate abnormal returns on the day of the recommendation. On the other hand, sell recommendations do not show significant negative abnormal returns.
Author: Yogesh Kumar Chauhan Publisher: ISBN: Category : Languages : en Pages :
Book Description
The paper studies the impact of buy and sell recommendations issued by analysts on the stock prices of companies listed on the National Stock Exchange (NSE) of India. Event study methodology is used to compute the abnormal returns around the event window, which is taken as -10 to 10. The study finds that buy recommendations issued by analysts on public domains help the investors generate abnormal returns on the day of the recommendation. On the other hand, sell recommendations do not show significant negative abnormal returns.
Author: Michael Souček Publisher: ISBN: Category : Languages : en Pages :
Book Description
The purpose of this article is to examine the impact of analysts' recommendation downgrades, upgrades, and reiterations on German stock returns and as to whether prof- itable investment strategies could potentially be designed around these recommendations. The paper provides a unique detailed descriptive analysis of financial analysts' recommendations changes on German stock market over the last decade. First, we show that changes in recommendations yield significant positive (negative) abnormal gross returns for upgrades (downgrades), respectively. Reiterations, on the other hand, do not cause statistically significant stock market reactions. We show, that stock price reactions following recommendation revisions are strongest at the announcement day and last up to six months for upgrades and four month for downgrades. A bulk of market reactions, appears on the recommendation event date and shortly before so that investors must trade in a timely manner to profit from analyst recommendations. A one-day delayed reaction to the change in recommendations do not allow for significant abnormal returns for most of the recommendation shifts.
Author: Nadine Weber Publisher: LAP Lambert Academic Publishing ISBN: 9783844306927 Category : Languages : en Pages : 72
Book Description
The Efficient Markets Hypothesis beholds that all public information is incorporated in the stock price. Yet economists question to what extent this holds, and these discussions are, among other factors, fuelled by the existence of analyst recommendations. If all information is already incorporated in the stock price, what value can analysts add? A comprehensive study on the German market finds that, indeed, a tangible effect is measured after analysts voice their recommendations; this effect is especially powerful when an analyst changes his recommendation to his previous one. Moreover, this book is the first to research how analyst recommendations have changed over time, whether analysts have better forecasting power during bull or bear markets, and, most importantly, how can an investor profit from this knowledge? An advanced calendar-time strategy has been developed wherein an investor can earn significant abnormal returns by following a momentum strategy in the short-term while simultaneously abiding to a contrarian strategy in the long-term.
Author: Nerissa C. Brown Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper documents the tendency of mutual fund managers to follow analyst recommendation revisions when they trade stocks, and the impact of analyst revisioninduced mutual fund "herds" on stock prices. We find that mutual fund herds follow consensus revisions in analyst recommendations, controlling for common investment signals that affect both analyst revisions and mutual fund trading. Consensus upgrades result in herds of funds buying a stock, while consensus downgrades result in even bigger herds of funds selling. Our most important finding is that mutual fund herding impacts stock prices to a much larger degree during our sample period (1994 to 2003) than during prior-studied periods. Further, we find the first evidence that mutual funds appear to overreact when they herd in their trades - stocks heavily bought by herds tend to underperform their size, book-tomarket, and momentum cohorts during the following year, while stocks heavily sold outperform. These reversal patterns are even stronger when herds of mutual funds (especially funds with poor performance records) follow analyst recommendation revisions. An investment strategy that accounts for the direction of both analyst revisions and mutual fund herding generates a return (adjusted for size, book-to-market, and momentum) exceeding six percent during the following year. Our results remain robust when we condition fund herding on analyst earnings forecast revisions instead of recommendation revisions. Overall, our study finds that the interaction between sell-side analysts and mutual fund managers plays an important role in setting prices in equity markets.
Author: Sundaresh Ramnath Publisher: Now Publishers Inc ISBN: 1601981627 Category : Business & Economics Languages : en Pages : 125
Book Description
Financial Analysts' Forecasts and Stock Recommendations reviews research related to the role of financial analysts in the allocation of resources in capital markets. The authors provide an organized look at the literature, with particular attention to important questions that remain open for further research. They focus research related to analysts' decision processes and the usefulness of their forecasts and stock recommendations. Some of the major surveys were published in the early 1990's and since then no less than 250 papers related to financial analysts have appeared in the nine major research journals that we used to launch our review of the literature. The research has evolved from descriptions of the statistical properties of analysts' forecasts to investigations of the incentives and decision processes that give rise to those properties. However, in spite of this broader focus, much of analysts' decision processes and the market's mechanism of drawing a useful consensus from the combination of individual analysts' decisions remain hidden in a black box. What do we know about the relevant valuation metrics and the mechanism by which analysts and investors translate forecasts into present equity values? What do we know about the heuristics relied upon by analysts and the market and the appropriateness of their use? Financial Analysts' Forecasts and Stock Recommendations examines these and other questions and concludes by highlighting area for future research.
Author: Wanyi Yang Publisher: ISBN: Category : Investment advisors Languages : en Pages : 386
Book Description
This thesis comprises three separate empirical studies which examine different aspects of analyst stock recommendations in international stock markets. The first study focuses on the information content of analyst recommendations at the country level. It shows that analyst recommendations aggregated at the country level predict international stock market returns. A trading strategy based on country-level recommendations yields an abnormal return of around 1% per month. Additional tests indicate that analyst recommendations aggregated at the country level provide useful information to predict future aggregate cash flows and associated market returns across different countries. The second study shifts the focus towards the standard deviation of analyst recommendations. In particular, it takes a closer look at Miller's theory (1977) and tests whether the relationship between differences of opinion and stock returns exists at the country level. This study shows that country level disagreement measured from single stock recommendation dispersion is negatively related to future realized market returns. This study also provides evidence that growth stocks show a higher level of overpricing compared to value stocks. The aggregate difference of opinion remains significantly negatively related to market returns after allowing time-varying risk exposure. However, countries with more binding short-sales constraints do not show lower future market returns. Finally, the third study takes a broader perspective and investigates whether the short-term value impact of analyst recommendations varies across countries, and whether these differences are related to countries' institutional environments. The results show that stock price reactions are systematically different across countries. In particular, stock prices react significantly stronger to recommendation announcements in countries with higher accounting standards, more effective security enforcement, better earnings quality, common law origins, and better protection of private property. However, the enforcement of insider trading laws does not significantly affect the value of recommendations at the country level. The results are robust after extending the event window to (-15, +15) and excluding confounding earnings announcements. Moreover, the institutional environment affects the value of recommendation revisions across countries as well.
Author: Dirk Gerritsen Publisher: ISBN: Category : Languages : en Pages : 31
Book Description
This study establishes that equity analyst recommendations have a significant short-term impact on share prices, by utilising an international database containing 31,363 analyst recommendations on JSE-listed and delisted companies, published over the period 1995 to 2011. In addition, two portfolio strategies were constructed. The first strategy shows that only investing in stocks with the most favourable consensus recommendations is associated with significant abnormal returns. The second strategy demonstrates that a portfolio consisting of recently upgraded stocks earns positive abnormal returns while a portfolio consisting of downgraded stocks is associated with negative abnormal returns.
Author: Eurico J. Ferreira Publisher: ISBN: Category : Languages : en Pages :
Book Description
A rich literature examines the effects of analysts' recommendations on stock prices, and literature is developing on the effect of Regulation Fair Disclosure on the information associated with corporate earnings forecasts and announcements. This study examines the effect of Reg FD on the information content of analysts' rating changes. Based on recommendations associated with a random sample of Samp;P 500 Index stocks, the major finding is that investors have been responding to analysts' recommendations in the same way since Reg FD as they did before implementation of Reg FD. In addition, the results suggest that Reg FD does not require that practitioners change the way they view the analyst recommendation process.
Author: Bjørn Espen Eckbo Publisher: Elsevier ISBN: 0080488919 Category : Business & Economics Languages : en Pages : 559
Book Description
Judging by the sheer number of papers reviewed in this Handbook, the empirical analysis of firms’ financing and investment decisions—empirical corporate finance—has become a dominant field in financial economics. The growing interest in everything “corporate is fueled by a healthy combination of fundamental theoretical developments and recent widespread access to large transactional data bases. A less scientific—but nevertheless important—source of inspiration is a growing awareness of the important social implications of corporate behavior and governance. This Handbook takes stock of the main empirical findings to date across an unprecedented spectrum of corporate finance issues, ranging from econometric methodology, to raising capital and capital structure choice, and to managerial incentives and corporate investment behavior. The surveys are written by leading empirical researchers that remain active in their respective areas of interest. With few exceptions, the writing style makes the chapters accessible to industry practitioners. For doctoral students and seasoned academics, the surveys offer dense roadmaps into the empirical research landscape and provide suggestions for future work. *The Handbooks in Finance series offers a broad group of outstanding volumes in various areas of finance *Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance *The series is international in scope with contributions from field leaders the world over
Author: Yogesh Kumar Chauhan
Author: Yogesh Kumar Chauhan
Author: Michael Souček
Author: Nadine Weber
Author: Nerissa C. Brown
Author: Wei Hao
Author: Sundaresh Ramnath
Author: Wanyi Yang
Author: Dirk Gerritsen
Author: Eurico J. Ferreira
Author: Bjørn Espen Eckbo