Time to payoff: Efficacy of analyst recommendations in the Indian stock market
Abnormal excess returns are often used to measure the profitability of analyst recommendations. We study the liquidity of recommended strategies, by modelling the time to payoff. Using an event study methodology, we find that target prices are reached in about 43% of 392 technical calls and 52% of 2...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2020-06-01
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| Series: | IIMB Management Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389617301751 |
| _version_ | 1818335129577193472 |
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| author | Devlina Chatterjee Saurabh Kumar Purba Chatterjee |
| author_facet | Devlina Chatterjee Saurabh Kumar Purba Chatterjee |
| author_sort | Devlina Chatterjee |
| collection | DOAJ |
| description | Abnormal excess returns are often used to measure the profitability of analyst recommendations. We study the liquidity of recommended strategies, by modelling the time to payoff. Using an event study methodology, we find that target prices are reached in about 43% of 392 technical calls and 52% of 211 fundamental calls. Accelerated failure time models show that for technical calls, high traded volumes and lower targetted returns led to earlier fulfilment, while a bullish market delayed fulfilment. For fundamental calls, lower targetted returns, a bullish market trend, and overall post-recommendation market movement accounted for earlier fulfilment, with sell recommendations performing slightly better. |
| first_indexed | 2024-12-13T14:18:31Z |
| format | Article |
| id | doaj.art-ca2569d5d31f482eb229c06b0d25b653 |
| institution | Directory Open Access Journal |
| issn | 0970-3896 |
| language | English |
| last_indexed | 2024-12-13T14:18:31Z |
| publishDate | 2020-06-01 |
| publisher | Elsevier |
| record_format | Article |
| series | IIMB Management Review |
| spelling | doaj.art-ca2569d5d31f482eb229c06b0d25b6532022-12-21T23:42:10ZengElsevierIIMB Management Review0970-38962020-06-01322153165Time to payoff: Efficacy of analyst recommendations in the Indian stock marketDevlina Chatterjee0Saurabh Kumar1Purba Chatterjee2Corresponding author.; Industrial and Management Engineering, IIT Kanpur, Kanpur, Uttar Pradesh, IndiaIndustrial and Management Engineering, IIT Kanpur, Kanpur, Uttar Pradesh, IndiaIndustrial and Management Engineering, IIT Kanpur, Kanpur, Uttar Pradesh, IndiaAbnormal excess returns are often used to measure the profitability of analyst recommendations. We study the liquidity of recommended strategies, by modelling the time to payoff. Using an event study methodology, we find that target prices are reached in about 43% of 392 technical calls and 52% of 211 fundamental calls. Accelerated failure time models show that for technical calls, high traded volumes and lower targetted returns led to earlier fulfilment, while a bullish market delayed fulfilment. For fundamental calls, lower targetted returns, a bullish market trend, and overall post-recommendation market movement accounted for earlier fulfilment, with sell recommendations performing slightly better.http://www.sciencedirect.com/science/article/pii/S0970389617301751Analyst recommendationsTechnical analysisFundamental analysisSurvival analysisStock marketLiquidity |
| spellingShingle | Devlina Chatterjee Saurabh Kumar Purba Chatterjee Time to payoff: Efficacy of analyst recommendations in the Indian stock market IIMB Management Review Analyst recommendations Technical analysis Fundamental analysis Survival analysis Stock market Liquidity |
| title | Time to payoff: Efficacy of analyst recommendations in the Indian stock market |
| title_full | Time to payoff: Efficacy of analyst recommendations in the Indian stock market |
| title_fullStr | Time to payoff: Efficacy of analyst recommendations in the Indian stock market |
| title_full_unstemmed | Time to payoff: Efficacy of analyst recommendations in the Indian stock market |
| title_short | Time to payoff: Efficacy of analyst recommendations in the Indian stock market |
| title_sort | time to payoff efficacy of analyst recommendations in the indian stock market |
| topic | Analyst recommendations Technical analysis Fundamental analysis Survival analysis Stock market Liquidity |
| url | http://www.sciencedirect.com/science/article/pii/S0970389617301751 |
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