Does the Market Recognize Which Analyst Reports are Influential?

77 Pages Posted: 8 Jan 2016 Last revised: 20 Mar 2018

See all articles by José Afonso Faias

José Afonso Faias

Catholic University of Portugal (UCP)

Date Written: January 6, 2017


Loh and Stulz (2011) found which characteristics drive influential analyst revisions in the period between 1993 and 2007. With a model that real predicts influential revisions out-of-sample, we find that the market was slow in incorporating this information. We fine-tune their model and we form long-short portfolios that earn an alpha of 2% per month between 1999 and 2013 based on the predicted influential revisions. Contrary to previous evidence, this strategy survives to substantial transaction costs. Hence, recommendations are an important means by which analysts assimilate information into stock prices.

Keywords: Influential recommendations, Investment strategy, Prediction, Signaling

JEL Classification: G11, G14

Suggested Citation

Faias, José, Does the Market Recognize Which Analyst Reports are Influential? (January 6, 2017). Available at SSRN: or

José Faias (Contact Author)

Catholic University of Portugal (UCP) ( email )

Palma de Cima
Lisboa, 1649-023

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
PlumX Metrics