How Skilled Are Security Analysts?

• 成果类型: Article
• 署名作者: Crane, Alan; Crotty, Kevin
• 署名单位: Rice University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12890
• 发表日期: 2020
• 页码: 1629-1675
• 关键词: Fund performance; FALSE DISCOVERIES; Investment banks; recommendations; luck; INFORMATION; PROPHETS; ratings

摘要

The majority of security analysts are identified as skilled when the cross-section of analyst performance is modeled as a mixture of multiple skill distributions. Analysts exhibit heterogeneous skill-some are high-type, and some are low-type. On average, the recommendation revisions of both types exhibit positive abnormal returns. The heterogeneity stems from differential ability to produce new information; all analysts can profitably process news. Top analysts outperform because more of their recommendations are influential (i.e., associated with statistically significant returns) and both their influential and noninfluential recommendations are more informative. A majority of research firms are also identified as skilled.