Value of Analyst Recommendations: International Evidence

U of Illinois at Urbana-Champaign Working Paper

41 Pages Posted: 14 Jul 2003

See all articles by Narasimhan Jegadeesh

Narasimhan Jegadeesh

Emory University - Department of Finance

Woojin Kim

Seoul National University - Business School

Date Written: June 2003

Abstract

This paper examines analyst recommendations in the G7 countries and evaluates the value of these recommendations over the 1993 to 2002 period. We find that the proportion of sell and strong sell recommendations in all of the countries are less than the proportion of the buy and strong buy recommendations. The frequency of sell recommendations is the lowest in the U.S. We also find that stock prices react significantly to recommendation revisions on the day of recommendation and on the following day in all of these countries except Italy. We find the largest price reactions in the U.S., followed by Japan. We evaluate trading strategies that buy upgraded stocks and sell downgraded stocks. Here again, the trading strategies have the highest profits in the U.S., followed by Japan.

Keywords: Analyst recommendations, market efficiency, stock recommendations

JEL Classification: G14, D82, G24, G28

Suggested Citation

Jegadeesh, Narasimhan and Kim, Woojin, Value of Analyst Recommendations: International Evidence (June 2003). U of Illinois at Urbana-Champaign Working Paper. Available at SSRN: https://ssrn.com/abstract=411521 or http://dx.doi.org/10.2139/ssrn.411521

Narasimhan Jegadeesh (Contact Author)

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States

Woojin Kim

Seoul National University - Business School ( email )

1 Gwanak-ro, Gwanak-gu
Seoul, 08826
Korea, Republic of (South Korea)
82-2-880-5831 (Phone)

HOME PAGE: http://cba.snu.ac.kr/en/faculty?mode=view&memberidx=60582&major=6

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