In this paper I examine whether one can use analyst forecasts of macroeconomic variables to improve investors ex-ante allocation of wealth between stocks and bonds. Such forecasts provide a forward-looking approach which I find improves investor's information set for the myopic stock-bond...

Using 1994-2009 data, we document that All-American (AA) analysts' buy and sell recommendations outperform those of non-AAs by over 7% per annum after risk-adjustments. This performance differential exists both before and after AAs are elected, does not exhibit long-run reversal, and is not...

Using 1994–2009 data, we find that All-American (AA) analysts' buy and sell portfolio alphas significantly exceed those of non-AAs by up to 7% per annum after risk-adjustments for investors with advance access to analyst recommendations. For investors without such access, top-rank AAs still...

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'...

Using 1994-2009 data, we find that All-American (AA) analysts' buy and sell portfolio alphas significantly exceed those of non-AAs by up to 0.6% per month after risk-adjustments for investors with advance access to analyst recommendations. For investors without such access, top-rank AAs still...

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...

High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies. Indisputably, HFT is an important factor in markets that are driven by sophisticated technology on all layers of...

This paper examines whether and how U.S. analysts contribute to an improvement in the home market information environment of foreign firms cross-listed in the United States. Comparing return and trading volume reactions to U.S. analyst recommendation revisions to local analysts' for cross-listed...

The purpose of this study is to assess whether the analysts' activity is valuable for investors, i. e., whether the managers follow the analysts' forecasts and whether those who follow are able to achieve higher returns. We analyzed the behavior of investment fund managers in the Brazilian...