A Study on the Information Content of Industrial Rating and Company Rating of Analysts
Xiao Men · Yunnan Caijing Daxue xuebao · 2014
By using the industrial and company rating data of analysts from WIND database during 2004 to 2013,the paper aims to test whether the ratings of analysts have valuable information content. Research shows that the consensus industrial rating portfolio and the consensus company rating portfolio of analysts can both produce significant positive abnormal returns. Even though the momentum factor is excluded,the result is the same. The cross combination of the two rating portfolios can generate higher abnormal returns. The consensus industrial rating portfolio simulated by firm rating cannot generate significant abnormal returns. The results indicate that analysts have unique expertise. Industrial rating and company rating have certain valuable information,which is useful for investors.