Analyst rating matters for index futures
研究发现基于文本的分析师评级指数能有效预测标普500股指期货的收益和波动，且预测能力在控制经济周期等因素后依然显著，对投资者和研究者有参考价值。
Abstract Analyst recommendations convey valuable market‐wide information which implies analyst rating should generate reliable predictability for future market returns. This paper examines the predictive regressions which forecast the S&P 500 index futures return and volatility with lagged text‐based analyst rating index (TAR index). Empirical evidence shows that the TAR index generates superior in‐sample predictability. This substantial predictability remains after controlling the business cycles, macroeconomic factors, and economic conditions. Also, the TAR index outperforms the prevailing mean out‐of‐sample and generates significant economic performance. Notably, the TAR index also delivers consistent predictive gains on the volatility of index futures returns.