出版社：Investment Analysts Society of Southern Africa
摘要：This paper empirically investigates whether an investor can pursue an investment strategy that generates outperformance based on South African stock-broking firms’ analysts’ consensus recommendations. First, the returns that an investor achieves by holding portfolios formed on the basis of analysts’ buy, hold or sell recommendations on the JSE of South Africa (JSE) for the period March 2000 to April 2003 are calculated. Second, the performance of portfolios constructed based on changes in analysts’ consensus recommendations is explored. The performance of each portfolio of permutations of upgrade, downgrade, recurrence and first coverage is investigated. This area of research has received much international attention with mixed results as to the exploitability of analyst’s recommendations. In contrast, there appears to be only two South African studies published on the topic [Bhana (1990) and Hall and Millard (2002)]. However, the use of brokers’ recommendations from just two and three broking houses respectively, may fail to generalise the value of South African brokers’ recommendations as a whole. In particular, the latter study may also be subject to hindsight bias as the three brokerage firms selected were based on the Financial Mail ‘Analyst of the Year’ awards. Furthermore, investigations regarding acting on changes in analysts’ recommendations have not yet been carried out in South Africa despite promising findings in the international literature.
