英文标题：
《Can Analysts Predict Rallies Better Than Crashes?》
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作者：
Ivan Medovikov
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最新提交年份：
2014
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英文摘要：
We use the copula approach to study the structure of dependence between sell-side analysts\' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with excess security returns during six months following recommendation issue. Using a symmetrized Joe-Clayton Copula (SJC) model we find evidence to suggest that analysts can identify stocks that will substantially outperform, but not underperform relative to the market, and that their predictive ability is conditional on recommendation changes.
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中文摘要：
我们使用copula方法来研究卖方分析师的一致建议与后续证券回报之间的依赖结构，重点是不对称尾部依赖。我们将2011年1月至12月期间I/B/E/S建议的月度年份与建议发布后六个月内的超额安全回报进行匹配。使用对称化的Joe Clayton Copula（SJC）模型，我们发现有证据表明，分析师可以识别出相对于市场表现显著优于但不低于市场表现的股票，并且他们的预测能力取决于建议的变化。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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