Research Seminar: Does the Market Recognize which Analyst Reports are Influential?
Loh and Stulz (2011) identified the characteristics that drove influential analyst revisions in the period between 1993 and 2007. With a model that predicts in real time influential revisions out of sample, we find that the market was slow in incorporating this information. We fine-tune their model and form long-short portfolios that earn an alpha of 2% per month between 1999 and 2013 based on the predicted influential revisions. Contrary to previous evidence, this strategy survives substantial transaction costs. Hence, recommendations are an important means by which analysts assimilate information into stock prices.
Time: 6 pm - 7 pm
Full paper available here
Wednesday, April 21, 2021
Academic director of the MSc in Finance and Assistant professor