Does Portfolio Momentum Beat Analyst Advice?

IF 2.5 4区管理学 Q2 BUSINESS, FINANCE

Abacus-A Journal of Accounting Finance and Business Studies Pub Date : 2023-09-03 DOI:10.1111/abac.12300

Jaeyong Lee, Jonathan A. Batten, Hyunah Ham, Doojin Ryu

{"title":"Does Portfolio Momentum Beat Analyst Advice?","authors":"Jaeyong Lee, Jonathan A. Batten, Hyunah Ham, Doojin Ryu","doi":"10.1111/abac.12300","DOIUrl":null,"url":null,"abstract":"We conduct a comparison of three portfolio investment strategies in the US stock market following the implementation of Regulation Fair Disclosure in October 2000. The strategies analyzed are analyst‐recommended, recommendation changes, and momentum portfolios. Across various time periods, company sizes, and industry sectors, the momentum portfolio consistently outperforms the other strategies. Portfolios based on analyst recommendations exhibit poor performance in industries such as consumer staples and materials, which are strongly correlated with oil prices. These industries are susceptible to external demand and supply‐side price shocks that are not adequately captured by analyst recommendations. The findings highlight firstly, the efficacy of the momentum strategy and the limitations of relying solely on analysts’ recommendations, particularly in oil‐dependent sectors; and secondly, the varying dynamics and performance of different investment strategies for investors seeking to optimize their investment decisions across different sectors and market conditions.","PeriodicalId":47285,"journal":{"name":"Abacus-A Journal of Accounting Finance and Business Studies","volume":"35 1","pages":""},"PeriodicalIF":2.5000,"publicationDate":"2023-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Abacus-A Journal of Accounting Finance and Business Studies","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1111/abac.12300","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

Abstract

We conduct a comparison of three portfolio investment strategies in the US stock market following the implementation of Regulation Fair Disclosure in October 2000. The strategies analyzed are analyst‐recommended, recommendation changes, and momentum portfolios. Across various time periods, company sizes, and industry sectors, the momentum portfolio consistently outperforms the other strategies. Portfolios based on analyst recommendations exhibit poor performance in industries such as consumer staples and materials, which are strongly correlated with oil prices. These industries are susceptible to external demand and supply‐side price shocks that are not adequately captured by analyst recommendations. The findings highlight firstly, the efficacy of the momentum strategy and the limitations of relying solely on analysts’ recommendations, particularly in oil‐dependent sectors; and secondly, the varying dynamics and performance of different investment strategies for investors seeking to optimize their investment decisions across different sectors and market conditions.

查看原文本刊更多论文

投资组合的势头胜过分析师的建议吗?

我们对2000年10月实施监管公平披露后美国股市的三种组合投资策略进行了比较。分析的策略是分析师推荐，推荐变化和动量投资组合。在不同的时间段、公司规模和行业部门，动量投资组合的表现始终优于其他策略。基于分析师建议的投资组合在与油价密切相关的日用消费品和原材料等行业表现不佳。这些行业容易受到外部需求和供给侧价格冲击的影响，分析师的建议没有充分反映这些冲击。研究结果首先强调了动量策略的有效性和仅仅依赖分析师建议的局限性，特别是在依赖石油的行业;其次，投资者在不同行业和市场条件下寻求优化投资决策的不同动态和不同投资策略的表现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Abacus-A Journal of Accounting Finance and Business Studies BUSINESS, FINANCE-

CiteScore

3.30

自引率

4.80%

发文量

期刊介绍： Since 1965 Abacus has consistently provided a vehicle for the expression of independent and critical thought on matters of current academic and professional interest in accounting, finance and business. The journal reports current research; critically evaluates current developments in theory and practice; analyses the effects of the regulatory framework of accounting, finance and business; and explores alternatives to, and explanations of, past and current practices.