The Predictive Content of Aggregate Analyst Recommendations

38 Pages Posted: 27 Apr 2009

See all articles by John S. Howe

John S. Howe

University of Missouri at Columbia - Department of Finance

Xuemin Sterling Yan

University of Missouri - Columbia

Emre Unlu

University of Nebraska at Lincoln

Abstract

Using more than 350,000 sell-side analyst recommendations from January 1994 to August 2006, this paper examines the predictive content of aggregate analyst recommendations. We find that changes in aggregate analyst recommendations forecast future market excess returns after controlling for macroeconomic variables that have been shown to influence market returns. Similarly, changes in industry-aggregated analyst recommendations predict future industry returns. Changes in aggregate analyst recommendations also predict one-quarter-ahead aggregate earnings growth. Overall, our results suggest that analyst recommendations contain market- and industry-level information about future returns and earnings.

Suggested Citation

Howe, John S. and Yan, Xuemin Sterling and Unlu, Emre, The Predictive Content of Aggregate Analyst Recommendations. Available at SSRN: https://ssrn.com/abstract=1378296 or http://dx.doi.org/10.1111/j.1475-679X.2009.00337.x

John S. Howe (Contact Author)

University of Missouri at Columbia - Department of Finance ( email )

224 Middlebush Hall
Columbia, MO 65211
United States
573-882-5357 (Phone)
573-884-6296 (Fax)

Xuemin Sterling Yan

University of Missouri - Columbia ( email )

Robert J. Trulaske Sr. College of Business
427 Cornell Hall
Columbia, MO 65211-2600
United States
573-884-9708 (Phone)
573-884-6296 (Fax)

HOME PAGE: http://business.missouri.edu/yanx/

Emre Unlu

University of Nebraska at Lincoln ( email )

Lincoln, NE 68588
United States

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