Measuring the Added Value of Stock Recommendations
利用斯德哥尔摩证券交易所数据，研究分析师推荐为投资者带来的附加值，发现推荐前交易获利显著，且大市值股票升级推荐附加值最高。
Using data from the Stockholm Stock Exchange (SSE), we study the value added by (as distinct from the abnormal returns to) analysts’ recommendations. Recommending brokers’ clients trade profitably around positive recommendations at the expense of other brokers’ clients. Significant profits come from transactions before recommendation dates. Value added is greatest for upgrades to large caps, and largely insignificant for downgrades and recommendations of small caps, despite high abnormal returns. Brokers making profitable recommendations generate abnormally high commission income, recouping much of their clients’ abnormal profits, and their abnormal commission income varies in line with the abnormal profits for their clients.