Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns

• 成果类型: Article
• 署名作者: Barber, B; Lehavy, R; McNichols, M; Trueman, B
• 署名单位: University of California System; University of California Davis; University of California System; University of California Berkeley; Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00336
• 发表日期: 2001
• 页码: 531-563
• 关键词: MARKET-EFFICIENCY; performance; arbitrage

摘要

We document that purchasing (selling short) stocks with the most (least) favorable consensus recommendations, in conjunction with daily portfolio rebalancing and a timely response to recommendation changes, yield annual abnormal gross returns greater than four percent. Less frequent portfolio rebalancing or a delay in reacting to recommendation changes diminishes these returns; however, they remain significant for the least favorably rated stocks. We also show that high trading levels are required to capture the excess returns generated by the strategies analyzed, entailing substantial transactions costs and leading to abnormal net returns for these strategies that are not reliably greater than zero.