Publicação
Analyst recommendations as an investment tool. Are there any prophets?
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Lameira, Pedro | |
| dc.contributor.author | Tedesco, Roberto | |
| dc.date.accessioned | 2017-11-17T15:28:25Z | |
| dc.date.available | 2018-01-20T01:30:25Z | |
| dc.date.issued | 2017-01-20 | |
| dc.description.abstract | The aim of this research is to test whether analysts recommendations can be used as a tool in decision making process. To test this hypothesis, five portfolios are built following the consensus on the constituents of the Standard and Poor‘s 500 Index. I find that the top-rated stocks do not over-perform the market. Furthermore, the former are beaten, in terms of risk-adjusted performance, by portfolios based on less recommended stocks. I find that analysts recommendations follow specific patterns with regards to exposure to market risk, book-to-market factor and performance momentum. Finally, a trading strategy, based on the change in the average consensus level is presented. I find that it is possible to generate positive Sharpe Ratios by extending strategys holding period to a maximum of three months. | pt_PT |
| dc.identifier.tid | 201716224 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/25472 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Trading strategy | pt_PT |
| dc.subject | Analyst recommendations | pt_PT |
| dc.subject | Efficient market hypothesis | pt_PT |
| dc.subject | Abnor- mal returns. | pt_PT |
| dc.title | Analyst recommendations as an investment tool. Are there any prophets? | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | embargoedAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |
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