The Impact of Analyst Recommendations and Revisions on the Prices of JSE-Listed Companies

Investment Analysts Journal, 80, 45-57

31 Pages Posted: 4 Nov 2014 Last revised: 26 Feb 2017

See all articles by Dirk Gerritsen

Dirk Gerritsen

Utrecht University - School of Economics; Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Rousseau Lötter

Stellenbosch University

Date Written: November 1, 2014

Abstract

This study establishes that equity analyst recommendations have a significant short-term impact on share prices, by utilising an international database containing 31,363 analyst recommendations on JSE-listed and delisted companies, published over the period 1995 to 2011. In addition, two portfolio strategies were constructed. The first strategy shows that only investing in stocks with the most favourable consensus recommendations is associated with significant abnormal returns. The second strategy demonstrates that a portfolio consisting of recently upgraded stocks earns positive abnormal returns while a portfolio consisting of downgraded stocks is associated with negative abnormal returns.

Keywords: Analyst recommendations, Recommendation revisions, Johannesburg Stock Exchange

Suggested Citation

Gerritsen, Dirk and Lotter, Rousseau, The Impact of Analyst Recommendations and Revisions on the Prices of JSE-Listed Companies (November 1, 2014). Investment Analysts Journal, 80, 45-57, Available at SSRN: https://ssrn.com/abstract=2518363

Dirk Gerritsen (Contact Author)

Utrecht University - School of Economics ( email )

Kriekenpitplein 21-22
Adam Smith Building
Utrecht, +31 30 253 7373 3584 EC
Netherlands

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

Rousseau Lotter

Stellenbosch University ( email )

Private Bag X1
Stellenbosch, Western Cape 7602
South Africa

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
83
Abstract Views
738
Rank
539,499
PlumX Metrics