Measuring the added value of stock recommendations

Anderson, Anders, Jones, Howard and Martinez, Jose Vicente (2017) Measuring the added value of stock recommendations. In: 43rd Annual Meeting of the European Finance Association, 17-20 August 2016, Oslo.

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Using data from the Stockholm Stock Exchange we study the value added by (as distinct from the abnormal returns to) analysts’ recommendations. Recommending brokers’ clients trade profitably around positive recommendations at the expense of the clients of brokers without analyst coverage. Significant profits come from transactions before recommendation dates. Value added is greatest for upgrades to large caps. Value added from downgrades and from recommendations for small caps is largely insignificant despite high abnormal returns to these categories. Brokers making profitable recommendations for their clients are rewarded by abnormal trading volumes, and capture much of the value added themselves.

Item Type: Conference or Workshop Item (Paper)
Keywords: Stock recommendations, Performance evaluation, Information leakages, finance
Subject(s): Finance
Date Deposited: 17 Aug 2016 10:35
Last Modified: 17 Aug 2017 15:04
Funders: not applicable

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