Lameira, PedroTedesco, Roberto2017-11-172018-01-202017-01-20http://hdl.handle.net/10362/25472The 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.engTrading strategyAnalyst recommendationsEfficient market hypothesisAbnor- mal returns.master thesis201716224