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2 2015

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THE PROFITABILITY OF FOLLOWING ANALYST RECOMMENDATIONS ON THE POLISH STOCK MARKET

100%

Zaremba A. , Konieczka P.

Finansowy Kwartalnik Internetowy e-Finanse

2015

tom 11

nr 1

22-31

The profitability of analysts’ recommendations is documented in numerous studies from all over the world. However, the evidence from the Polish market is relatively modest. The primary aim of this study is to fill this gap. The paper contributes to the economic literature in four ways. First, it provides fresh out-of-sample evidence on return patterns following analysts’ recommendations from Poland. Second, it examines the relations between these patterns and the size of the rated companies. Finally, it investigates whether it is possible to design profitable strategies based on the discovered patterns. We use monthly stock level data from Poland and the sample period is 2004-2013. In order to examine the profitability of analysts’ reports, we build market-neutral portfolios and test their performance against CAPM, Fama-French three-factor and Carhart fourfactor models. The principal findings can be summarized as follows. First, we document that the top rated companies deliver better returns than the bottom rated companies. Second, we find that the profitability is particularly impressive among the small companies. Third, the abnormal returns are partially explained by momentum and value based factors. Finally, we provide evidence that strategies based on information in recommendations deliver statistically significant positive abnormal rates of return.

Stock Exchange Recommendations and Economic Realities

88%

Pastusiak R. , Keller J.

nr 1

113-139

The aim of this paper is to present the impact of stock recommendations on the prices in the context of excessive optimism heuristic. The main goal of the conducted analysis is to show that investors on the Warsaw Stock Exchange seem to ignore the economic information that comes with the recommendation report. Also, as the analyzed recommendations are set in the specified economic conditions, authors would like to show that reports are biased with excessive optimism. The research of the structure of recommendations was issued for the biggest companies of the Polish market listed on the Warsaw Stock Exchange from 2009 to 2012. The investigation showed that the ambiguity of the creation methods of analytical reports and differences in valuation of companies causes subjectivism in analysts’ assessments, which leads to heuristic effects. According to the authors, the structure of reports and their specificity shows that excessive optimism is an important factor in creation of stock exchange recommendations.