Analyst Recommendations and International Stock Market Returns
43 Pages Posted: 20 Jul 2016
Date Written: July 1, 2016
This paper shows that analyst recommendations aggregated at the country level predict international stock market returns. A trading strategy based on past country-level recommendations yields an abnormal return of around 0.9 percent per month. Aggregate analyst recommendations also predict one-quarter ahead gross domestic product, industrial production and one-year ahead aggregate earnings. Overall, our results suggest that analyst recommendations aggregated at the country level provide useful information to guide international asset allocation.
Keywords: Analyst Recommendation, International Asset Allocation, Aggregate Information, Stock Return Prediction
JEL Classification: G11, G14, G15, G24
Suggested Citation: Suggested Citation