Ratings Changes, Ratings Levels, and the Predictive Value of Analysts’ Recommendations
研究发现分析师建议的超常回报既来自评级水平也来自评级变化，且两者都能预测未来意外盈余和市场反应，对投资者优化决策有参考价值。
We show that abnormal returns to analysts’ recommendations stem from both the ratings levels assigned and the changes in those ratings. Conditional on the ratings change, buy and strong buy recommendations have greater returns than do holds, sells, and strong sells. Conditional on the ratings level, upgrades earn the highest returns and downgrades the lowest. We also find that both ratings levels and changes predict future unexpected earnings and the associated market reaction. Our results imply that 1) investment returns may be enhanced by conditioning on both recommendation levels and changes; 2) the predictive power of analysts’ recommendations reflects, at least partially, analysts’ ability to generate valuable private information; and 3) some inconsistency exists between analysts’ ratings and the formal ratings definitions issued by securities firms.