Financial Value of Analyst Recommendations: Talent or Risk Factor?

Year 2020, , 371 - 389, 31.10.2020

Arhan Sabri Ertan , Cenk C. Karahan , Ahmet Köseli

https://doi.org/10.17233/sosyoekonomi.2020.04.17

Abstract

Financial analysts not only contribute to the informational efficiency of stock markets with their detailed reports, they also have the power to influence portfolio decisions of the larger financial investment industry through their recommendations. This study aims to explain the returns of portfolios formed based on analyst recommendations on Borsa Istanbul (BİST) stocks via known risk factors and to test the success of such recommendations in generating risk-adjusted alphas. In that regard, the returns of equal and value weighted portfolios based on analyst recommendations have been tested via CAPM, Fama-French and Carhart models. Furthermore, the financial value of analyst recommendations at times of economic turmoil is tested by taking recession periods into consideration. Although, positive recommendations from analysts seem to generate additional returns; when explained through well-known risk factors, the existence of an excess return with economic and statistical significance appears questionable. Our findings show that, analyst recommendations cannot be utilized to generate a meaningful alpha above and beyond the well-known risk factor premiums for BİST within respective period.

Keywords

Analyst Recommendations, Multifactor Models, Economic Recession, Borsa Istanbul

Analist Önerilerinin Finansal Değeri: Risk Faktörlerinin Ötesinde Ne Söylüyorlar?

Abstract

Finansal analistler, yazdıkları raporlarla pay piyasasında sağlıklı bilgi akışına katkıda bulundukları gibi, önerileriyle de büyük bir yatırım sektörünün portföy kararlarını etkileme gücüne sahipler. Bu çalışma, Borsa İstanbul (BİST) hisse senetleri için yapılan analist önerileri doğrultusunda oluşturulan portföylerin getirilerini risk faktörleriyle açıklamayı ve analist önerilerinin ek getiri sağlamadaki başarısını ölçmeyi amaçlamaktadır. Bu bağlamda analist önerileri dikkate alınarak oluşturulan eşit ve değer ağırlıklı portföyler; CAPM, Fama-French ve Carhart varlık fiyatlama modelleri ile test edilmiştir. Bununla birlikte, analist önerilerinin ekonomik durgunluk dönemlerinde bir değer yaratıp yaratmadığı incelenmiştir. Her ne kadar analistlerin olumlu önerileri göreceli yüksek getiri getirse de bu getiriler bilinen risk faktörleri ile açıklandığında ekonomik ve istatistiksel olarak anlamlı bir ek getiriden bahsetmek mümkün değildir. Elde ettiğimiz bulgular ışığında, BİST için örneklem dönemimizde, analistlerin önerileri ile oluşturulan portföylerin piyasa getirisine kıyasla ve risk faktörlerinin verdiği bilgilerin ötesinde bir ek getiri üretemediği sonucuna ulaşmaktayız.

Keywords

Analist Önerileri, Çok Faktörlü Modeller, Ekonomik Durgunluk, Borsa İstanbul

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