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| Analysts' Revisions, Fundamental Analysis and Future Stock Returns |
| ZHANG Ran, WANG Rongfei, WANG Shenghua
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Guanghua School of Management, Peking University;
Jiangsu Highhope Wisdom Capital |
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Abstract This paper investigates the investment value of revisions provided by security analysts. Using calendar time portfolios based on public available data, we find both earnings revisions and recommendation revisions have incremental information, and the market prices fail to fully reflect the information content as well as the differences in abilities between star analysts and ordinary analysts. Hedge portfolios based on earnings revisions and recommendation revisions can earn monthly three-factor model adjusted returns of 1.34% and 0.92%, respectively. Furthermore, we find the investment value of analyst revisions derives from their ability of fundamental analysis. Both earnings revisions and recommendation revisions can predict future profitability, unexpected earnings, and abnormal returns around earnings announcement days. Our findings shed lights on the information role of analysts as well as market efficiency.
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Received: 03 November 2016
Published: 18 January 2018
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