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.
簡介
證券分析師通常被認為是金融市場的信息中介，但分析師評級的有效性卻一直存在爭議。文章從股票市場異象的角度來系統地評估分析師股票評級的有效性以及其對資本市場產生的影響。研究發現分析師不僅沒有充分利用市場異象包含的信息給出有效的評級💐，而且傾向於對已經高估的股票給出樂觀評級，而根據分析師錯誤評級進行的投資交易行為會進一步放大股市定價誤差👰🏽♂️🧁。與此同時，能力越強的分析師👥，他們的薦股報告與異象信號更一致💃🏿、所獲得的市場反饋也更強👩🏼🍳。
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