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Information efficiency on an emerging market: analysts' recommendations in Tunisia

Author

Listed:
  • Sébastien Galanti

    (Univ. Orléans, CNRS, LEO)

  • Zahra Ben Braham

    (University of Carthage, DEFI, CNRS, LEO)

Abstract

We use a unique database, collected by aggregating analysts' reports on the Tunisian Stock Exchange. We study the price impact and the excess returns following analysts' recommendations. Results are qualitatively in line with the literature. However, although often significant, the results are not as bold as one expects in a frontier market. We hypothesize that the market is not liquid enough for trades to fully convey the information content of recommendations. Moreover, we find that reiterated recommendations have more impact than revised recommendations. Studying reiterated recommendations provides original results. This is important, as it suggests that it could be more profitable for investors to follow reiterations on emerging markets.

Suggested Citation

  • Sébastien Galanti & Zahra Ben Braham, 2017. "Information efficiency on an emerging market: analysts' recommendations in Tunisia," Economics Bulletin, AccessEcon, vol. 37(1), pages 377-390.
    • Handle: RePEc:ebl:ecbull:eb-15-00674
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    References listed on IDEAS

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    Cited by:

    1. Michael Siemon, 2018. "Price Synchronicity, Inter-Firm Networks, and Business Groups in the Middle East and North Africa," Working Papers 1267, Economic Research Forum, revised 10 Dec 2018.
    2. Anna Blajer-Gołębiewska, 2021. "Individual corporate reputation and perception of collective corporate reputation regarding stock market investments," PLOS ONE, Public Library of Science, vol. 16(9), pages 1-21, September.

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    More about this item

    Keywords

    Financial analysts; recommendations; information; efficiency; emerging markets; price impact; excess returns;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G1 - Financial Economics - - General Financial Markets

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