Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/49952

The persistence of relative performance in stock recommendations of sell-side financial analysts

Authors Li, X. View this author's profile
Issue Date 2005
Source Journal of accounting & economics , v. 40, (1-3), 2005, p. 129-152
Summary 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. © 2005 Elsevier B.V. All rights reserved.
Subjects
ISSN 0165-4101
Language English
Format Article
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