Journal of Accounting and Economics Vol. 40 No. 1-3 2005
The persistence of relative performance in stock recommendations of sell-side financial analysts
Abstract
Analysts with above-median risk-adjusted performance in the estimation period persistently outperform those with below-median performance in the subsequent holdout period. The annualized risk-adjusted returns of trading strategies based on performance persistence are statistically and economically significant, with a magnitude around 10% even after adjusting for transaction costs and trading delays. This stems mostly from past above-median performers and is not simply a decomposition of previously documented post-event return drift. The results support the hypotheses that more information is contained in above-median performers’ recommendations and that investor reaction to these recommendations is incomplete during the event periods.
- DOI
- 10.1016/j.jacceco.2005.04.007
- Volume
- 40
- Issue
- 1-3
- Pages
- 129-152
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib