Country-level analyst recommendations and international stock market returns

Henk Berkman and Wanyi Yang

Journal of Banking & Finance, 2019, vol. 103, issue C, 1-17

Abstract: This study defines the aggregate analyst recommendation for a country as the value-weighted average of all outstanding recommendations for shares of firms incorporated in that country. We show that country-level analyst recommendations predict international stock market returns. A trading strategy based on country-level recommendations yields an abnormal return of around 1% per month. Aggregate recommendations also help to predict changes in gross domestic product and aggregate earnings surprises. Overall, we find that country-level analyst recommendations provide useful information to predict future aggregate cash flows and associated market returns across different countries.

Keywords: Analyst recommendation; Sentiment; International asset allocation; Aggregate information; Stock return prediction; GDP prediction (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426619300731
Full text for ScienceDirect subscribers only

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:eee:jbfina:v:103:y:2019:i:c:p:1-17

DOI: 10.1016/j.jbankfin.2019.03.018

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().