Analyst Recommendations and International Stock Market Returns

43 Pages Posted: 20 Jul 2016

See all articles by Henk Berkman

Henk Berkman

University of Auckland - Business School

Wanyi Yang

University of Auckland - Business School

Date Written: July 1, 2016

Abstract

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

Berkman, Henk and Yang, Wanyi, Analyst Recommendations and International Stock Market Returns (July 1, 2016). Available at SSRN: https://ssrn.com/abstract=2811871 or http://dx.doi.org/10.2139/ssrn.2811871

Henk Berkman

University of Auckland - Business School ( email )

Private Bag 92019
Room: 577
Auckland
New Zealand
(64 9) 3737599 Ext. 7181 (Phone)
(64 9) 3737406 (Fax)

Wanyi Yang (Contact Author)

University of Auckland - Business School ( email )

12 Grafton Rd
Private Bag 92019
Auckland, 1010
New Zealand

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