Anderson, Anders
[Verfasser:in]
;
Jones, Howard
[Sonstige Person, Familie und Körperschaft];
Martinez, Jose Vicente
[Sonstige Person, Familie und Körperschaft]
Measuring the Added Value of Stock Recommendations
Anmerkungen:
In: Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
In: Swedish House of Finance Research Paper No. 16-06
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 28, 2019 erstellt
Beschreibung:
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 other brokers' clients. Significant profits come from transactions before recommendation dates. Value added is greatest for upgrades to large caps, and largely insignificant for downgrades and recommendations of small caps, despite high abnormal returns. Brokers making profitable recommendations generate abnormally high commission income, recouping much of their clients' abnormal profits, and their abnormal commission income varies in line with the abnormal profits for their clients