Abstract

We examine the value and efficiency of analyst recommendations through the lens of capital market anomalies. We find that analysts do not fully use the information in anomaly signals when making recommendations. Analysts tend to give more favorable consensus recommendations to stocks classified as overvalued and, more important, these stocks subsequently tend to have particularly negative abnormal returns. Analysts whose recommendations are better aligned with anomaly signals are more skilled and elicit stronger recommendation announcement returns. Our findings suggest that analysts’ biased recommendations could be a source of market friction that impedes the efficient correction of mispricing.

简介

证券分析师通常被认为是金融市场的信息中介，但分析师评级的有效性却一直存在争议。文章从股票市场异象的角度来系统地评估分析师股票评级的有效性以及其对资本市场产生的影响。研究发现分析师不仅没有充分利用市场异象包含的信息给出有效的评级，而且倾向于对已经高估的股票给出乐观评级，而根据分析师错误评级进行的投资交易行为会进一步放大股市定价误差。与此同时，能力越强的分析师，他们的荐股报告与异象信号更一致、所获得的市场反馈也更强。