Do Analysts Know It Better? Sell-Side Analyst Recommendations and Stock Returns in Finland

Thumbnail Image

Files

bachelor_Kontio_Casimir_2016.pdf (704.73 KB)

URL

Journal Title

Journal ISSN

Volume Title

School of Business | Bachelor's thesis
Unless otherwise stated, all rights belong to the author. You may download, display and print this publication for Your own personal use. Commercial use is prohibited.

Authors

Date

2016

Department

Rahoituksen laitos

Major/Subject

Mcode

Degree programme

Rahoitus

Language

en

Pages

30

Series

Abstract

In this thesis I analyze the association of sell-side analysts’ stock recommendations and stock returns in Finland between January 2006 and December 2015 on a daily basis. The focus is on profitability of an investment strategy utilizing these recommendations. I find that an investment strategy that buys the most favorable stocks and sells short the least favorable stocks on a daily basis yields an annual abnormal return of above 14 percent. Furthermore, I find that the abnormal returns are mostly pronounced on both small stocks and stocks that have small number of analysts covering the firm. In addition, I find that less-frequent portfolio rebalancing fades away the significance of abnormal returns, and that the abnormal returns turn into negative when the portfolio is rebalanced only on a monthly basis.

Description

Thesis advisor

Lof, Matthijs

Keywords

security analyst, analyst recommendations, stock markets, efficient market hypothesis, anomaly

Other note

Citation

Permanent link to this item

https://urn.fi/URN:NBN:fi:aalto-201708166538

Collections

[kand] Kauppakorkeakoulu / BIZ (Open Access)