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  • 标题:Existence and Exploitability of Financial Analysts' Informational Leadership
  • 本地全文:下载
  • 作者:Rainer Baule ; Hannes Wilke
  • 期刊名称:Applied Finance Letters
  • 印刷版ISSN:2253-5799
  • 电子版ISSN:2253-5802
  • 出版年度:2016
  • 卷号:5
  • 期号:2
  • 页码:2-11
  • DOI:10.24135/afl.v5i2.49
  • 出版社:Tuwhera Open Access Publisher
  • 摘要:This paper bridges two recent studies on the role of analysts to provide new and relevant information to investors. On the one hand, the contribution of analysts to long-term price discovery on the US market is rather low. Considering earnings per share forecasts as the main output of analysts’ reports, their information share amounts to only 4.6% on average. On the other hand, trading strategies set up on these EPS forecasts are quite profitable. Self-financing portfolios yield excess returns of more than 5% over the S&P 100 index for a time period of 36 years, which is persistent after controlling for the well-known risk factors. In this paper, we discuss the link between the low information shares and the high abnormal returns. We argue that information shares of analysts cannot be higher, because otherwise their forecasts would lead to excessively profitable trading strategies which are very unlikely to persist over such a long period of time.
  • 关键词:analysts; informational leadership; information shares; self-financing trading strategies.
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