Sell-side analysts' recommendations a value or noise

The main objective of the paper is to investigate the analysts’ recommendations’ value and to determine on which market the analysts have more predictive power that can be defined as an extent of a stock price’s reaction around a particular recommendation what leads to abnormal returns of the security. Such recommendations are significant in decision-making whether to buy or to sell a particular stock. We observed 1,881 events from 168 companies traded at the London Stock Exchange and the New York Stock Exchange in a period between January 1, 2016, and April 31, 2019. We used an event study analysis and classical one-factor market model to determine expected returns for a particular stock in an estimation window. It was found that both American and European Union markets are feasible to be outperformed by the analysts but it is impossible to highlight any of the markets as they behave almost identically around positive, neutral and negative recommendations. © 2020 John Wiley & Sons, Ltd.

Авторы
Vukovic D.B. 1, 2 , Ugolnikov V.3 , Maiti M.4
Издательство
John Wiley and Sons Ltd
Язык
Английский
Статус
Опубликовано
Год
2020
Организации
  • 1 Finance and credit Department, Faculty of Economics, People's Friendship University of Russia (RUDN University), Moscow, Russian Federation
  • 2 Geographical Institute “Jovan Cvijic”, SASA, Belgrade, Serbia
  • 3 Department of Finance, Deloitte, Saint Petersburg, Russian Federation
  • 4 Department for Finance, National Research University Higher School of Economics, St. Petersburg School of Economics and Management, Russian Federation
Ключевые слова
Analysts' recommendations; LSE; NYSE; recommendations' value; stock market reaction
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