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Discrete Expectational Data and Portfolio Performance
Author(s) -
ELTON EDWIN J.,
GRUBER MARTIN J.,
GROSSMAN SETH
Publication year - 1986
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1986.tb04534.x
Subject(s) - portfolio , purchasing , point (geometry) , set (abstract data type) , selection (genetic algorithm) , econometrics , actuarial science , scale (ratio) , economics , financial economics , computer science , business , marketing , mathematics , geometry , quantum mechanics , physics , artificial intelligence , programming language
In this article we examine the information content in analysts' recommendations which are made on a five‐point buy, hold, or sell scale. Our data set includes data on 10,000 forecasts per month. Unlike most prior studies, our data set does not suffer from selection or survivorship bias. We find information in analysts' changes in recommendations. Approximately 4.5% extra return can be earned by purchasing new buys rather than new sells.