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Research Seminar: Does the Market Recognize which Analyst Reports are Influential?

Research Seminar: Does the Market Recognize which Analyst Reports are Influential?

Nazarbayev University Graduate School of Business invites you to the Research Seminar titled "Does the Market Recognize which Analyst Reports are Influential?" by Dr. José Faias

Abstract

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

Area: Finance

Full paper available here

Registration HERE




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Date:

Wednesday, April 21, 2021

Time:

18:00

Location:

ZOOM

Speaker

José Faias

Academic director of the MSc in Finance and Assistant professor

José Faias is the academic director of the MSc in Finance and assistant professor at Católica Lisbon School of Business and Economics. He was awarded the 2019, 2018 and 2017 CATÓLICA-LISBON Distinguished Teaching Award - Master of Science Programs. He holds a PhD in Finance from Nova School of Business and Economics, a MSc in Statistics and Optimization from the School of Science and Technology of Nova University (FCT-UNL), a MBA from Católica Lisbon School of Business and Economics and a BA ("Licenciatura") in Mathematics - Actuarial Sciences from the School of Science and Technology of Nova University (FCT-UNL). He was a visiting fellow at Harvard University and a visiting scholar at MIT Sloan School of Management. He has previously taught at Nova School of Business and Economics and School of Science and Technology of Nova University (FCT-UNL), and worked in the insurance and investment banking industry. His research interests include empirical asset pricing, empirical corporate finance and econometrics: portfolio choice, tail risk, stock market efficiency, predictability, investor heterogeneity and M&As.