By modeling asset returns via Brownian processes, we construct dynamic portfolios whose weights, relative to the market portfolio, are inflated (respectively, deflated) depending on high (respectively, low) levels of ex-ante beta for the corresponding assets. We establish under mild conditions...

In this note, we study of the impact of sell side analyst recommendations and their revisions on prices. We show that the speed at which their information is incorporated into prices has increased in the last decades. This makes systematic strategies taking advantage of recommendation barely...