Financial analyst recommendations and profit
This paper examines analyst recommendations in Singapore, Malaysia and Thailand, the three largest stock exchanges in Southeast Asia. By constructing monthly-rebalanced portfolios of stocks classified by the levels of recommendations the stocks received and the revisions in these recommendations, th...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/15348 |
| _version_ | 1811682231298555904 |
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| author | Aw, Ying Feng Lin, Weiqiao Loh, Jaysen |
| author2 | Charlie Charoenwong |
| author_facet | Charlie Charoenwong Aw, Ying Feng Lin, Weiqiao Loh, Jaysen |
| author_sort | Aw, Ying Feng |
| collection | NTU |
| description | This paper examines analyst recommendations in Singapore, Malaysia and Thailand, the three largest stock exchanges in Southeast Asia. By constructing monthly-rebalanced portfolios of stocks classified by the levels of recommendations the stocks received and the revisions in these recommendations, this study investigates the value of recommendations by examining the monthly portfolio returns from November 1993 to February 2008. In addition, the study also implements controls for the divergence and the number of analysts following the stocks to examine their effect on returns.
Our results show that findings from prior research on Western developed countries are not representative of Southeast Asian markets. Evidence from the study suggests that in Singapore and Malaysia, recommendation levels contain little or no information; but in Thailand, investors may extract valuable information from recommendation levels. Consistent with prior literature, recommendation changes have robust predictive power for monthly returns in all three markets.
In addition, the study also suggests that the number of recommendations adds value for investors significantly in Malaysia and marginally in Thailand, while the divergence in recommendations contains valuable information only in Malaysia. Although these factors can potentially allow investors to reap better returns following such investment strategies, this study also observe that more favourably recommended portfolios do not always outperform the less favourably recommended ones, indicating that investors should be cautious when following analysts recommendations levels and/or changes in any market. |
| first_indexed | 2024-10-01T03:53:33Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/15348 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T03:53:33Z |
| publishDate | 2009 |
| record_format | dspace |
| spelling | ntu-10356/153482023-05-19T05:41:34Z Financial analyst recommendations and profit Aw, Ying Feng Lin, Weiqiao Loh, Jaysen Charlie Charoenwong Nanyang Business School DRNTU::Business::Finance::Equity This paper examines analyst recommendations in Singapore, Malaysia and Thailand, the three largest stock exchanges in Southeast Asia. By constructing monthly-rebalanced portfolios of stocks classified by the levels of recommendations the stocks received and the revisions in these recommendations, this study investigates the value of recommendations by examining the monthly portfolio returns from November 1993 to February 2008. In addition, the study also implements controls for the divergence and the number of analysts following the stocks to examine their effect on returns. Our results show that findings from prior research on Western developed countries are not representative of Southeast Asian markets. Evidence from the study suggests that in Singapore and Malaysia, recommendation levels contain little or no information; but in Thailand, investors may extract valuable information from recommendation levels. Consistent with prior literature, recommendation changes have robust predictive power for monthly returns in all three markets. In addition, the study also suggests that the number of recommendations adds value for investors significantly in Malaysia and marginally in Thailand, while the divergence in recommendations contains valuable information only in Malaysia. Although these factors can potentially allow investors to reap better returns following such investment strategies, this study also observe that more favourably recommended portfolios do not always outperform the less favourably recommended ones, indicating that investors should be cautious when following analysts recommendations levels and/or changes in any market. BUSINESS 2009-04-27T08:56:36Z 2009-04-27T08:56:36Z 2009 2009 Final Year Project (FYP) http://hdl.handle.net/10356/15348 en Nanyang Technological University 47 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Equity Aw, Ying Feng Lin, Weiqiao Loh, Jaysen Financial analyst recommendations and profit |
| title | Financial analyst recommendations and profit |
| title_full | Financial analyst recommendations and profit |
| title_fullStr | Financial analyst recommendations and profit |
| title_full_unstemmed | Financial analyst recommendations and profit |
| title_short | Financial analyst recommendations and profit |
| title_sort | financial analyst recommendations and profit |
| topic | DRNTU::Business::Finance::Equity |
| url | http://hdl.handle.net/10356/15348 |
| work_keys_str_mv | AT awyingfeng financialanalystrecommendationsandprofit AT linweiqiao financialanalystrecommendationsandprofit AT lohjaysen financialanalystrecommendationsandprofit |