Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns
发现，根据分析师共识推荐买入最受好评的股票、卖空最不受好评的股票，并每日调整组合、及时响应推荐变化，可获得年化超4%的异常毛收益；但频繁交易导致高成本，净收益并不显著为正。
ABSTRACT We document that purchasing (selling short) stocks with the most (least) favorable consensus recommendations, in conjunction with daily portfolio rebalancing and a timely response to recommendation changes, yield annual abnormal gross returns greater than four percent. Less frequent portfolio rebalancing or a delay in reacting to recommendation changes diminishes these returns; however, they remain significant for the least favorably rated stocks. We also show that high trading levels are required to capture the excess returns generated by the strategies analyzed, entailing substantial transactions costs and leading to abnormal net returns for these strategies that are not reliably greater than zero.