Do Brokerage Analysts' Recommendations Have Investment Value?
研究美国14家大型券商分析师股票推荐的市场反应，发现推荐后价格漂移显著，卖出推荐平均六个月漂移-9.1%，买入推荐一个月漂移+2.4%，表明分析师推荐具有交易价值。
An analysis of stock and sell recommendations by security analysts at fourteen major U.S. brokerage firms shows significant, systematic discrepancies between prices and eventual values, in contrast to the conclusions of many previous studies. The average initial price change at the time of the recommendations is large, even though few recommendations coincide with other public information releases or provide previously unavailable facts. These price changes which are then ostensibly due primarily to information processing and dissemination are consistent with the expanded Grossman and Stiglitz (1980) definition of market efficiency where informed investors earn a return on their information gathering and processing efforts. Furthermore, these initial price reactions are incomplete. Post-recommendation risk-adjusted price drift implies that analysts' recommendations provide tradable value for investors. For recommendations, the mean, post-event drift is modest (+2.4%) and short-lived (one month), but for sell recommendations, the drift is larger (-9.1%), accruing over a longer six-month interval. Analysts appear to have market timing as well as stock picking abilities. Also, accurate industry predictions appear to be an important component for pessimistic recommendations (sell and removed from buy ) but not for optimistic ones (buy and removed from sell).