Analyzing the Analysts: When Do Recommendations Add Value?
研究发现卖方分析师普遍推荐“热门”股票，但共识推荐水平仅在具有有利量化特征（如价值股和正动量股）的股票中有预测价值；相反，共识推荐的季度变化是一个稳健的回报预测因子。
ABSTRACT We show that analysts from sell‐side firms generally recommend “glamour” (i.e., positive momentum, high growth, high volume, and relatively expensive) stocks. Naïve adherence to these recommendations can be costly, because the level of the consensus recommendation adds value only among stocks with favorable quantitative characteristics (i.e., value stocks and positive momentum stocks). In fact, among stocks with unfavorable quantitative characteristics, higher consensus recommendations are associated with worse subsequent returns. In contrast, we find that the quarterly change in consensus recommendations is a robust return predictor that appears to contain information orthogonal to a large range of other predictive variables.