Do Earnings Estimates Add Value to Sell-Side Analysts’ Investment Recommendations?
研究发现，基于盈利预测调整的推荐变更比无盈利预测调整的推荐变更具有更强的初始价格反应和更高的风险调整后收益，且受分析师认知和激励偏差影响较小。
Sell-side analysts change their stock recommendations when their valuations differ from the market’s. These valuation differences can arise from either differences in earnings estimates or the nonearnings components of valuation methodologies. We find that recommendation changes motivated by earnings estimate revisions have a greater initial price reaction than the same recommendation changes without earnings estimate revisions: about +1.3% (−2.8%) greater for upgrades (downgrades). Nevertheless, the postrecommendation drift is also greater, suggesting that investors underreact to earnings-based recommendation changes. Implemented as a trading strategy, earnings-based recommendation changes earn risk-adjusted returns of 3% per month, considerably more than non-earnings-based recommendation changes. Evidence from variation in firms’ information environment and analysts’ regulatory environment suggests that recommendation changes with earnings estimate revisions are less affected by analysts’ cognitive and incentive biases. This paper was accepted by Wei Jiang, finance.