Yury O. Kucheev
(), Felipe Ruiz
and Tomas Sorensson
Yury O. Kucheev: Technical University of Madrid (UPM), Madrid, Spain,Royal Institute of Technology (KTH), Stockholm, Sweden, Swedish House of Finance, Stockholm School of Economics., Postal: SE-100 44 Stockholm, Sweden
Felipe Ruiz: Department of Industrial Management, Business Administration and Statistics, School of Industrial Engineering, Technical University of Madrid (UPM), Postal: José Gutiérrez Abascal, 2, , 28006 Madrid, , Spain
Tomas Sorensson: Department of Industrial Economics and Management, School of Industrial Engineering and Management, Royal Institute of Technology (KTH), Swedish House of Finance, and Stockholm School of Economics., Postal: , SE-100 44 Stockholm, Sweden
Abstract: In this study, we compare the profitability of the investment recommendations of analysts listed in four different star rankings: Institutional Investor magazine, StarMine’s “Top Earnings Estimators” and “Top Stock Pickers” and The Wall Street Journal. We document that the highest average monthly abnormal return of holding a long-short portfolio, 1.58 percent, is obtained by following the recommendations of the group of star sell-side analysts rated by The Wall Street Journal during the period from 2003-2013. The results indicate that the choice of analyst ranking is economically important in making investment decisions.
29 pages, June 3, 2015
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