This paper proposes a method to evaluate if risk is adequately accounted for in the Morningstar rating system. The analysis is based on the comparison between the rating obtained ignoring the risk component and those obtained increasing the weight of risk and, in particular, for the level of...

This paper examines whether sell-side security analysts follow momentum or create momentum by themselves for recommending stocks. We employ an indirect method of testing the role of analysts by assigning projected recommendation scores for the neglected stocks to mitigate the so-called...

We study whether analysts' recommendations and the market's reactions to recommendation changes are influenced by the structure of analysts' research portfolios. We find that analysts maintain more positive recommendations for stocks that belong to the “core industry” in their research...

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...

This paper analyzes how the existence of sector funds (specialists) within a mutual fund family affects the performance and investment behavior of affiliated diversified equity funds (generalists). First of all, I show that specialists have stock picking skills. Second, information flows from...

This paper defines an approximation to the value of funding ratio put options for pension funds. This option is, by construction, the ideal option to hedge the risk of a funding ratio falling below some required minimum level. It's value can be used for several applications, for example as a...

Appendix is available at: "https://ssrn.com/abstract=3395415" https://ssrn.com/abstract=3395415Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of...

Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for...

Using a hand-collected dataset containing buy, hold, and sell recommendations for Bitcoin published by crypto analysts, we show that hold and sell recommendations are followed by negative abnormal returns whereas buy recommendations are not associated with nonzero abnormal returns. Based on all...

Using textual analysis to measure financial analysts’ industry knowledge for A-share healthcare reports issued during 2012-2019, we find that unqualified analysts exist in the Chinese stock market. These unqualified analysts concentrate in state-owned (SOE) brokerages. They tend to plagiarize...