Analyst recommendations as an investment tool. Are there any prophets?

Detalhes bibliográficos
Autor(a) principal: Tedesco, Roberto
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/25472
Resumo: The aim of this research is to test whether analysts recommendations can be used as a tool in decision making process. To test this hypothesis, five portfolios are built following the consensus on the constituents of the Standard and Poor‘s 500 Index. I find that the top-rated stocks do not over-perform the market. Furthermore, the former are beaten, in terms of risk-adjusted performance, by portfolios based on less recommended stocks. I find that analysts recommendations follow specific patterns with regards to exposure to market risk, book-to-market factor and performance momentum. Finally, a trading strategy, based on the change in the average consensus level is presented. I find that it is possible to generate positive Sharpe Ratios by extending strategys holding period to a maximum of three months.
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spelling Analyst recommendations as an investment tool. Are there any prophets?Trading strategyAnalyst recommendationsEfficient market hypothesisAbnor- mal returns.Domínio/Área Científica::Ciências Sociais::Economia e GestãoThe aim of this research is to test whether analysts recommendations can be used as a tool in decision making process. To test this hypothesis, five portfolios are built following the consensus on the constituents of the Standard and Poor‘s 500 Index. I find that the top-rated stocks do not over-perform the market. Furthermore, the former are beaten, in terms of risk-adjusted performance, by portfolios based on less recommended stocks. I find that analysts recommendations follow specific patterns with regards to exposure to market risk, book-to-market factor and performance momentum. Finally, a trading strategy, based on the change in the average consensus level is presented. I find that it is possible to generate positive Sharpe Ratios by extending strategys holding period to a maximum of three months.Lameira, PedroRUNTedesco, Roberto2018-01-20T01:30:25Z2017-01-202017-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/pdfhttp://hdl.handle.net/10362/25472TID:201716224enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:13:25Zoai:run.unl.pt:10362/25472Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:17.855053Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Analyst recommendations as an investment tool. Are there any prophets?
title Analyst recommendations as an investment tool. Are there any prophets?
spellingShingle Analyst recommendations as an investment tool. Are there any prophets?
Tedesco, Roberto
Trading strategy
Analyst recommendations
Efficient market hypothesis
Abnor- mal returns.
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Analyst recommendations as an investment tool. Are there any prophets?
title_full Analyst recommendations as an investment tool. Are there any prophets?
title_fullStr Analyst recommendations as an investment tool. Are there any prophets?
title_full_unstemmed Analyst recommendations as an investment tool. Are there any prophets?
title_sort Analyst recommendations as an investment tool. Are there any prophets?
author Tedesco, Roberto
author_facet Tedesco, Roberto
author_role author
dc.contributor.none.fl_str_mv Lameira, Pedro
RUN
dc.contributor.author.fl_str_mv Tedesco, Roberto
dc.subject.por.fl_str_mv Trading strategy
Analyst recommendations
Efficient market hypothesis
Abnor- mal returns.
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Trading strategy
Analyst recommendations
Efficient market hypothesis
Abnor- mal returns.
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The aim of this research is to test whether analysts recommendations can be used as a tool in decision making process. To test this hypothesis, five portfolios are built following the consensus on the constituents of the Standard and Poor‘s 500 Index. I find that the top-rated stocks do not over-perform the market. Furthermore, the former are beaten, in terms of risk-adjusted performance, by portfolios based on less recommended stocks. I find that analysts recommendations follow specific patterns with regards to exposure to market risk, book-to-market factor and performance momentum. Finally, a trading strategy, based on the change in the average consensus level is presented. I find that it is possible to generate positive Sharpe Ratios by extending strategys holding period to a maximum of three months.
publishDate 2017
dc.date.none.fl_str_mv 2017-01-20
2017-01-20T00:00:00Z
2018-01-20T01:30:25Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/25472
TID:201716224
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identifier_str_mv TID:201716224
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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