摘要
Using a sample of Chinese security analysts’recommendations from 2005 to2010,we examine the source of analysts’superiority and the investment value of their recommendations.Using a calendar-time portfolio approach,we find that,on average,analysts’recommendations are valuable and that analysts are better at analyzing and transferring firm-specific information than market-wide or industry-level information.In addition,we show that the investment value of recommendations increases as firm-specific information becomes more important in stock pricing.Our empirical results are useful in guiding investors and helping brokerage houses to evaluate the output of research departments.
Using a sample of Chinese security analysts' recommendations from 2005 to2010, we examine the source of analysts' superiority and the investment value of their recommendations. Using a calendar-time portfolio approach, we find that, on average, analysts' recommendations are valuable and that analysts are better at analyzing and transferring firm-specific information than market-wide or industry-level information. In addition, we show that the investment value of recommendations increases as firm-specific information becomes more important in stock pricing. Our empirical results are useful in guiding investors and helping brokerage houses to evaluate the output of research departments.
基金
financial support of the research project (13R21421500) sponsored by the Shanghai Science and Technology Commission
support from the National Natural Science Foundation of China (71272221, 71402197)
supported by grants from the Shanghai College of first-class discipline in the Shanghai International Studies University,the Beijing Municipal Commission of Education "Joint Construction Project" and the Beijing Municipal Commission of Education "Pilot Reform of Accounting Discipline Clustering"
