Do Brokerage Analysts' Recommendations Have Investment Value?
研究美国大型券商分析师的新买入和卖出推荐，发现推荐前后价格存在显著差异，初始反应大但后续漂移不同，买入推荐漂移小且短暂，卖出推荐漂移大且持续六个月，分析师表现出市场时机和选股能力。
ABSTRACT An analysis of new buy and sell recommendations of stocks by security analysts at major U.S. brokerage firms shows significant, systematic discrepancies between prerecommendation prices and eventual values. The initial return at the time of the recommendations is large, even though few recommendations coincide with new public news or provide previously unavailable facts. However, these initial price reactions are incomplete. For buy recommendations, the mean postevent drift is modest (+2.4%) and short‐lived, but for sell recommendations, the drift is larger (−9.1%) and extends for six months. Analysts appear to have market timing and stock picking abilities.