Ratings Changes, Ratings Levels, and the Predictive Value of Analysts' Recommendations

被引：58

作者：

Barber, Brad M. ^{[1
]}

Lehavy, Reuven ^{[2
]}

Trueman, Brett ^{[3
]}

机构：

[1] Univ Calif Davis, Davis, CA 95616 USA

[2] Univ Michigan, Ann Arbor, MI 48109 USA

[3] Univ Calif Los Angeles, Los Angeles, CA USA

来源：

FINANCIAL MANAGEMENT | 2010年 / 39卷 / 02期

关键词：

D O I：

10.1111/j.1755-053X.2010.01083.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that abnormal returns to analysts' recommendations stem from both the ratings levels assigned and the changes in those ratings. Conditional on the ratings change, buy and strong buy recommendations have greater returns than do holds, sells, and strong sells. Conditional on the ratings level, upgrades earn the highest returns and downgrades the lowest. We also find that both ratings levels and changes predict future unexpected earnings and the associated market reaction. Our results imply that 1) investment returns may be enhanced by conditioning on both recommendation levels and changes; 2) the predictive power of analysts' recommendations reflects, at least partially, analysts' ability to generate valuable private information; and 3) some inconsistency exists between analysts' ratings and the formal ratings definitions issued by securities firms.

引用

页码：533 / 553

页数：21

共 15 条

[1] Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns [J].