Analyst Recommendations and Anomalies Across the Globe
| Autor: | Sebastian Müller, Vitor G. Azevedo |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
International market
International stock markets History Polymers and Plastics Financial economics Financial market Market efficiency Globe Industrial and Manufacturing Engineering medicine.anatomical_structure Value (economics) medicine Portfolio Business Business and International Management Overconfidence effect |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3705141 |
| Popis: | We examine the value of analyst recommendations across 45 countries and 3.8 million firm-month observations from 1994 to 2019. Recommendation-based portfolio strategies lead to highly significant (insignificant) abnormal returns in international markets (in the U.S.). In line with limits-to-arbitrage-based explanations of market mispricing, we find higher abnormal recommendation-based strategy returns in countries with less developed financial markets. Consistent with analyst overconfidence bias, we also find that recommendations are less profitable and less aligned with composite mispricing scores for stocks in individualistic countries. Collectively, our evidence suggests that analyst recommendations provide more value to investors than previously thought. |
| Databáze: | OpenAIRE |
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