Analysts, industries, and price momentum

被引:188
作者
Boni, L
Womack, KL
机构
[1] Univ New Mexico, Anderson Sch Management, Albuquerque, NM 87131 USA
[2] Dartmouth Coll, Amos Tuck Sch Business Adm, Hanover, NH 03755 USA
关键词
D O I
10.1017/S002210900000243X
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper examines the value of analysts as industry specialists. We show analysts create value in their recommendations mainly through their ability to rank stocks within industries. An industry-based recommendation strategy substantially improves the return to risk ratio and reduces price momentum tilt relative to portfolios that ignore industry information. An examination of the links among analyst information, aggregated at the industry level, and industry returns and industry momentum shows that industry returns precede industry-aggregated analyst upgrades and downgrades, and the short-term industry price momentum phenomenon is partly explained by returns of firms with more analyst coverage leading those with less in that industry. Recommendation information is not valuable for predicting future relative industry returns, however.
引用
收藏
页码:85 / 109
页数:25
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