High Frequency Trading is pervasive across all electronic financial markets. As algorithms replace an increasing number of tasks previously performed by humans, cascading effects similar to the Flash Crash of May 6th 2010 become more likely. In this study, we bring together a number of different...

This paper examines a common methodology of analysts' recommendation portfolios for measuring the investment value of sell-side analysts' recommendations. Given that more than 80% of the studied portfolios are concentrated in the three smallest size deciles, we document that the portfolios'...

In this paper, we examine whether highly reputed sell-side analysts (Stars) account for seasonality in their forecasts. Extensive research has documented that seasonality exists in the stock market, and in their quest to become Stars, analysts may consider seasonality when they issue...

Researchers have struggled to find rational risk factors that explain momentum profits derived from buying prior winners and shorting prior losers. Behavioral explanations have been offered that focus on tendencies of investors to underreact to news and recommendations. Our study provides an...

In this paper, we use stock price data between the years 2007 and 2010 to investigate the allocation of assets on the GSE. The Classical Markowitz optimization method shows that, the most profitable portfolio is obtained by investing 90% of wealth in non-financial assets and 10% in financial...

Besides the positively biased rating structure and procyclical nature of analysts' stock recommendations we observe that within the global universe stock recommendations and stock performance are largely uncorrelated. Nevertheless, investors are able to benefit from sell side stock...

We examine whether the informativeness of sell-side analyst reports depends on the strength of the regulatory environment of a country and the regulatory background of the institutional investors of a company. Our analyses are based on more than 600,000 analyst reports from 2005 through 2010...