Journal of Banking & Finance Vol. 103 2019
Country-level analyst recommendations and international stock market returns
Abstract
This study defines the aggregate analyst recommendation for a country as the value-weighted average of all outstanding recommendations for shares of firms incorporated in that country. We show that country-level analyst recommendations predict international stock market returns. A trading strategy based on country-level recommendations yields an abnormal return of around 1% per month. Aggregate recommendations also help to predict changes in gross domestic product and aggregate earnings surprises. Overall, we find that country-level analyst recommendations provide useful information to predict future aggregate cash flows and associated market returns across different countries.
- DOI
- 10.1016/j.jbankfin.2019.03.018
- Volume
- 103
- Pages
- 1-17
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib