Do security analysts exhibit persistent differences in stock picking ability?

被引:136
作者
Mikhail, MB
Walther, BR
Willis, RH [1 ]
机构
[1] Duke Univ, Fuqua Sch Business, Durham, NC 27708 USA
[2] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA
关键词
security analysts; stock recommendations; persistence; trading strategy;
D O I
10.1016/j.jfineco.2003.11.001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We investigate whether security analysts exhibit persistence in their stock picking ability. We find that analysts whose recommendation revisions earned the most (least) excess returns in the past continue to outperform (underperform) in the future. Further, the market recognizes these performance differences in the five-day period surrounding the recommendation revision. This market reaction, however, is incomplete. Excess returns in the one and three trading months following the revision are significant and positively associated with analysts' prior performance. However, a trading strategy taking long (short) positions in recommendation upgrades (downgrades) conditional on analysts' prior performance is unprofitable. (C) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码:67 / 91
页数:25
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