Behavior and Performance of Investment Newsletters Analysts

Vicente Pascual Pons-Sanz () and Alok Kumar ()
Additional contact information
Vicente Pascual Pons-Sanz: General
Alok Kumar: Mendoza College of Business

Yale School of Management Working Papers from Yale School of Management

Abstract: This study analyzes the behavior and performance of 353 investment newsletters that make asset allocation recommendations during a period covering more than 21 years (June 1980 - November 2001). Newsletters change their asset mix between equity and cash using relatively simple rules that are strongly influenced by past market returns while macro-economic variables have only a very weak influence on their asset allocation decisions. On aggregate, newsletters do not outperform a passive investment strategy but there exist well-defined newsletter sub-groups (active newsletters, contrarian newsletters) that exhibit market-timing ability. Furthermore, when we examine the recommendations of individual newsletters at a higher frequency (daily as opposed to monthly), we find considerable evidence of timing-ability. There is also evidence of persistence in newsletters' performance and a trading strategy that follows the average recommendations of newsletters that have performed well in the past 10 months is capable of outperforming the market on a risk-adjusted basis (the annual over-performance is 2.56%).

Keywords: Market-timing; Performance Persistence; Active Investing; Investment Newsletters; Positive-feedback Trading (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2002-03-22
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=302888 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 410 Gone (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=302888 [301 Moved Permanently]--> https://papers.ssrn.com/sol3/papers.cfm?abstract_id=302888)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm275

Access Statistics for this paper

More papers in Yale School of Management Working Papers from Yale School of Management Contact information at EDIRC.
Bibliographic data for series maintained by ().