Ska jag lyssna?: En studie i huruvida det lönar sig att följa råd från aktieanalytiker

Sammanfattning: The question of whether financial analysts can forecast stock movements or not has been widely debated for many years. This study examines if an investor has been able to receive an excess return by following financial analysts’ recommendations. We continue by studying if an investor has been able to earn a different excess return by following different types of recommendations. The study includes more than 15,000 recommendations made by 10 first tier banks and brokerages on the Swedish market during the years 2003-2007. We have been able to show that an investor has been able to achieve excess returns by following all buy recommendations for holding periods of 3, 30, 90 and 360 days. By following all sell recommendations an investor has received a negative excess return for holding periods of three days but for holding periods of 90 and 360 days the excess returns from following sell recommendations becomes positive. When choosing between a buy recommendation and a sell recommendation, we have shown that buy recommendations have given higher excess returns for holding periods of three days while sell recommendations have given better returns for holding periods of 360 days. When choosing between changed and unchanged recommendations we have shown that the optimal choice would be a changed buy recommendation and an unchanged sell recommendation.