Can analysts predict rallies better than crashes?

Ivan Medovikov ()

Finance Research Letters, 2014, vol. 11, issue 4, 319-325

Abstract: We use the copula approach to study the structure of dependence between sell-side analysts’ consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January–December 2011 with excess security returns during six months following recommendation issue. Using a mixed Gaussian–symmetrized Joe–Clayton copula model we find evidence to suggest that analysts can identify stocks that will substantially outperform, but not underperform relative to the market, and that their predictive ability is conditional on recommendation changes.

Keywords: Analyst recommendations; Copulas; Non-linear dependence (search for similar items in EconPapers)
JEL-codes: C14 C51 C58 G12 G24 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Can Analysts Predict Rallies Better Than Crashes? (2014)
Working Paper: Can Analysts Predict Rallies Better Than Crashes? (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:11:y:2014:i:4:p:319-325

DOI: 10.1016/j.frl.2014.08.001

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