Can Investors Profit From The Prophets ? Security Analysis Recommendations And Stock Returns  

Oleh:

Barber, Brad ; Lehavy, Reuven ; McNichols, Maureen ; Trueman, Brett

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 2 (2001), page 531-563.
Topik: stock returns; short sales; investment policy; rates of return; stufies; mathematical model; statistical analysis; portfolio performance
Fulltext: p 531.pdf (242.9KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Purchasing (selling short) stocks with the most (least) favorable consensus recommendations, in conjunction with daily portfolio rebalancing and a timely response to recommendation changes, yield annual abnormal gross returns greater than four percent. Less frequent portfolio rebalancing or a delay in reacting to recommendation changes diminishes these returns, however, they remain significant for the least favorably rated stocks. High trading levels are required to capture the excess returns generated by the strategies analyzed, entailing substantial transactions costs and leading to abnormal net returns for these strategies that are not reliably greater than zero

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