Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/17591
Título: Influential analyst recommendations : are they the hidden gem?
Autor: Mascarenhas, Pedro Miguel Nussbaumer
Orientador: Faias, José
Data de Defesa: 21-Jan-2014
Resumo: Informational signals play an important role in Finance. We analyze influential recommendations changes in the US between 1993 and 2012 which accounts for 19% of the overall. We find that they depend on the magnitude of the recommendation change, concurrent earnings, and higher firm institutional ownership. Using this to predict influential recommendation in an out of sample exercise, we construct a long-short portfolio that buys positive and sells negative influential recommendation changes. We find that this strategy yields a net annualized abnormal return of 26%, an annualized Sharpe ratio of 1.23, and an annualized certainty-equivalent of 27% between 1999 and 2012, which compares well to an annualized Sharpe Ratio of 0.40 and an annualized certainty-equivalent of 6% of the CRSP equally-weighted index.
URI: http://hdl.handle.net/10400.14/17591
Aparece nas colecções:FCEE - Dissertações de Mestrado / Master Dissertations
R - Dissertações de Mestrado / Master Dissertations

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