The Analysis of the Performance of Analyst Recommendations
Date Issued
2014
Date
2014
Author(s)
Hsu, Tzu-Jan
Abstract
This research investigates the performance of analyst recommendations and discusses the factors which influence the performance. The research examines 6061 data points form 2008 to 2013 ,and divide the 5 year period into to segments: 2008~2012,and 2013. Trading strategy following the analyst recommendations and target price is devised to quantify the absolute returns and subsequently calculates the excess returns based on Jensen’s Alpha. Lastly, adopting the excess returns as the dependent variable, we run a regression model to analyze the impact of factors that affect target price error and excess returns. There are three main results. First, equity research reports are of higher value during bear markets, while it is difficult to earn positive excess returns by analyst’s recommendations during bull markets. Secondly, price targets are rarely met. Therefore, instead of using it as an exit reference, target price should be regarded as a confidence indicator. Thirdly, the excess returns for analyst recommendations are not susceptible to companies’ market capitalization , price to book ratio, number of analyst reports and turnover rate. In addition, foreign broker’s performances do not outpace those of local brokers.
Subjects
券商評等
目標價
超額報酬
Type
thesis
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