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Do local analysts have an informational advantage in forecasting stock returns? Evidence from the German DAX30

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  • T. Hendricks

    ()

  • B. Kempa

    ()

  • C. Pierdzioch

    ()

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File URL: http://hdl.handle.net/10.1007/s11408-010-0129-7
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Bibliographic Info

Article provided by Springer in its journal Financial Markets and Portfolio Management.

Volume (Year): 24 (2010)
Issue (Month): 2 (June)
Pages: 137-158

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Handle: RePEc:kap:fmktpm:v:24:y:2010:i:2:p:137-158

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Web page: http://www.springerlink.com/link.asp?id=119763

Related research

Keywords: Forecasting stock returns; Bank stock recommendations; Local analysts; C53; E44; G11;

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References

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  1. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-89, June.
  2. Bjerring, James H & Lakonishok, Josef & Vermaelen, Theo, 1983. " Stock Prices and Financial Analysts' Recommendations," Journal of Finance, American Finance Association, vol. 38(1), pages 187-204, March.
  3. Pesaran, M.H. & Timmermann, A., 1990. "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics 9021, Faculty of Economics, University of Cambridge.
  4. Leitch, Gordon & Tanner, J Ernest, 1991. "Economic Forecast Evaluation: Profits versus the Conventional Error Measures," American Economic Review, American Economic Association, vol. 81(3), pages 580-90, June.
  5. Pesaran, M. H. & Timmermann, A., 1996. "A Recursive Modelling Approach to Predicting UK Stock Returns'," Cambridge Working Papers in Economics 9625, Faculty of Economics, University of Cambridge.
  6. Christopher J. Malloy, 2005. "The Geography of Equity Analysis," Journal of Finance, American Finance Association, vol. 60(2), pages 719-755, 04.
  7. Lai, Sandy & Teo, Melvyn, 2008. "Home-Biased Analysts in Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(03), pages 685-716, September.
  8. Cumby, Robert E. & Modest, David M., 1987. "Testing for market timing ability : A framework for forecast evaluation," Journal of Financial Economics, Elsevier, vol. 19(1), pages 169-189, September.
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