Publicação
Analyzing the analysts: how does consensus moves with profitability
| Resumo: | The purpose of this report is to present a quantitative strategy analysis based on the combination of an analyst’s recommendation and a measure of a company’s profitability, the return on equity. It tests how this combination can generate abnormal stock returns. Furthermore, it is also seen how an opposite strategy would perform. Several measures were calculated to evaluate the performance of both strategies. A long-only strategy of reverse IBES and profitability outperform on a risk-adjusted basis the long-only IBES and profitability, with yearly excess returns of 10.49% and a Sharpe ratio of 0.34. |
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| Autores principais: | Côdea, Beatriz Maria Pimenta Soares |
| Assunto: | Finance Financial markets Fundamentals U.S stock market Performance analysis |
| Ano: | 2023 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | The purpose of this report is to present a quantitative strategy analysis based on the combination of an analyst’s recommendation and a measure of a company’s profitability, the return on equity. It tests how this combination can generate abnormal stock returns. Furthermore, it is also seen how an opposite strategy would perform. Several measures were calculated to evaluate the performance of both strategies. A long-only strategy of reverse IBES and profitability outperform on a risk-adjusted basis the long-only IBES and profitability, with yearly excess returns of 10.49% and a Sharpe ratio of 0.34. |
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