作者：Barber, B; Lehavy, R; McNichols, M; Trueman, B
作者单位：University of California System; University of California Davis; University of California System; University of California Berkeley; Stanford University
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 requ...
作者：De Roon, FA; Nijman, TE; Werker, BJM
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tilburg University
摘要：We propose regression-based tests for mean-variance spanning in the case where investors face market frictions such as short sales constraints and transaction costs. We test whether U.S. investors can extend their efficient set by investing in emerging markets when accounting for such frictions. For the period after the major liberalizations in the emerging markets, we find strong evidence for diversification benefits when market frictions are excluded, but this evidence disappears when invest...
