The persistence of relative performance in stock recommendations of sell-side financial analysts

• 成果类型: Article
• 署名作者: Li, X
• 署名单位: University of Miami
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2005.04.007
• 发表日期: 2005
• 关键词: individual analysts; FORECAST ACCURACY; EARNINGS FORECASTS; FULLY REFLECT; INFORMATION; revisions; returns; MARKET; RISK; heteroskedasticity

摘要

Analysts with above-median risk-adjusted performance in the estimation period persistently outperform those with below-median performance in the subsequent holdout period. The annualized risk-adjusted returns of trading strategies based on performance persistence are statistically and economically significant, with a magnitude around 10% even after adjusting for transaction costs and trading delays. This stems mostly from past above-median performers and is not simply a decomposition of previously documented post-event return drift. The results support the hypotheses that more information is contained in above-median performers' recommendations and that investor reaction to these recommendations is incomplete during the event periods. (c) 2005 Elsevier B.V. All rights reserved.