Do security analysts exhibit persistent differences in stock picking ability?

• 成果类型: Article
• 署名作者: Mikhail, MB; Walther, BR; Willis, RH
• 署名单位: Duke University; Northwestern University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2003.11.001
• 发表日期: 2004
• 页码: 67-91
• 关键词: security analysts; stock recommendations; persistence; trading strategy

摘要

We investigate whether security analysts exhibit persistence in their stock picking ability. We find that analysts whose recommendation revisions earned the most (least) excess returns in the past continue to outperform (underperform) in the future. Further, the market recognizes these performance differences in the five-day period surrounding the recommendation revision. This market reaction, however, is incomplete. Excess returns in the one and three trading months following the revision are significant and positively associated with analysts' prior performance. However, a trading strategy taking long (short) positions in recommendation upgrades (downgrades) conditional on analysts' prior performance is unprofitable. (C) 2004 Elsevier B.V. All rights reserved.