Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns
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 rebala...
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| Veröffentlicht in: | The Journal of finance (New York) 2001-04, Vol.56 (2), p.531-563 |
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| container_end_page | 563 |
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| container_issue | 2 |
| container_start_page | 531 |
| container_title | The Journal of finance (New York) |
| container_volume | 56 |
| creator | Barber, Brad Lehavy, Reuven McNichols, Maureen Trueman, Brett |
| description | 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. |
| doi_str_mv | 10.1111/0022-1082.00336 |
| format | Article |
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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.</description><subject>Cost estimates</subject><subject>Financial investments</subject><subject>Financial portfolios</subject><subject>Investment policy</subject><subject>Investment strategies</subject><subject>Investors</subject><subject>Mathematical models</subject><subject>Portfolio performance</subject><subject>Price momentum</subject><subject>Rates of return</subject><subject>Recommendations</subject><subject>Short sales</subject><subject>Statistical analysis</subject><subject>Stock prices</subject><subject>Studies</subject><subject>Transaction costs</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2001</creationdate><recordtype>article</recordtype><recordid>eNqFkM9PwjAYhhujiYiePXhpvA_atV3HyRAiPwwRFZWES1O6LgzYim1R99-7OcPV79I0z_v2Sx8ArjHq4Gq6CIVhgFEcdhAiJDoBLcwoCqIwwqegdaTn4MK5DaqHsRZYDmQBJ8Wndt5YB5-sSTMPU2ty6Ne6vu_X2rs7ONfqYDNfwn4hd6Xz8EUrk-e6SKTPTOGgLBI490ZtK-IPtnCX4CyVO6ev_s42eBvevw7GwXQ2mgz600DRHo8CzVLEUqrSSHGFlNSUpvEq6UU05rGmISI4ZghJFcUy4ZRIzTkjPUUU1zHHK9IGt827e2s-DtVHxMZU-6uVAvcox3W6CnWbkLLGOatTsbdZLm0pMBK1P1EbErUh8euvatCm8ZXtdPlfXDzMhpOmdtPUNrXRYy0MQ8ZJRYOGZs7r7yOVdisiTjgTi8eRiEeL8TtdEvFMfgCkYInq</recordid><startdate>200104</startdate><enddate>200104</enddate><creator>Barber, Brad</creator><creator>Lehavy, Reuven</creator><creator>McNichols, Maureen</creator><creator>Trueman, Brett</creator><general>Blackwell Publishers, Inc</general><general>Blackwell Publishers</general><general>Blackwell Publishers Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>200104</creationdate><title>Can Investors Profit from the Prophets? 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Security Analyst Recommendations and Stock Returns</atitle><jtitle>The Journal of finance (New York)</jtitle><date>2001-04</date><risdate>2001</risdate><volume>56</volume><issue>2</issue><spage>531</spage><epage>563</epage><pages>531-563</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><coden>JLFIAN</coden><abstract>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. 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| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 2001-04, Vol.56 (2), p.531-563 |
| issn | 0022-1082 1540-6261 |
| language | eng |
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| source | Jstor Complete Legacy; Wiley Online Library Journals Frontfile Complete |
| subjects | Cost estimates Financial investments Financial portfolios Investment policy Investment strategies Investors Mathematical models Portfolio performance Price momentum Rates of return Recommendations Short sales Statistical analysis Stock prices Studies Transaction costs |
| title | Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns |
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