Can analysts pick stocks for the long-run?

• 成果类型: Article
• 署名作者: Altinkilic, Oya; Hansen, Robert S.; Ye, Liyu
• 署名单位: George Washington University; Tulane University; Freddie Mac
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.09.004
• 发表日期: 2016
• 页码: 371-398
• 关键词: Analysts' forecasts; Financial analysts; financial markets; investment banking; market efficiency; SECURITY ANALYSTS; behavioral finance

摘要

This paper examines post-revision return drift, or PRD, following analysts' revisions of their stock recommendations. PRD refers to the finding that the analysts' recommendation changes predict future long-term returns in the same direction as the change (i.e., upgrades are followed by positive returns, and downgrades are followed by negative returns). During the high-frequency algorithmic trading period of 2003-2010, average PRD is no longer significantly different from zero. The new findings agree with improved market efficiency after declines in real trading cost inefficiencies. They are consistent with a reduced information production role for analysts in the supercomputer.era. (C) 2015 Elsevier B.V. All rights reserved.