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Market prices, analysts' predictions, and Covid19

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  • Taussig, Roi D.

Abstract

This study employs a relatively new statistical method to analyze the time-series of US market prices. Specifically, it shows, that during Covid19, the strongest structural breaks happened. Moreover, since 1993 analysts were not able to predict market stock prices significantly at the 5% level. The new statistical method allows for a better analysis of market prices and analysts' recommendations.

Suggested Citation

  • Taussig, Roi D., 2022. "Market prices, analysts' predictions, and Covid19," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003536
    DOI: 10.1016/j.frl.2021.102343
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    References listed on IDEAS

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    1. Yonca Ertimur & Jayanthi Sunder & Shyam V. Sunder, 2007. "Measure for Measure: The Relation between Forecast Accuracy and Recommendation Profitability of Analysts," Journal of Accounting Research, Wiley Blackwell, vol. 45(3), pages 567-606, June.
    2. Medovikov, Ivan, 2014. "Can analysts predict rallies better than crashes?," Finance Research Letters, Elsevier, vol. 11(4), pages 319-325.
    3. Minkwan Ahn & Michael Drake & Hangsoo Kyung & Han Stice, 2019. "The role of the business press in the pricing of analysts’ recommendation revisions," Review of Accounting Studies, Springer, vol. 24(1), pages 341-392, March.
    4. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    5. Bosquet, Katrien & de Goeij, Peter & Smedts, Kristien, 2014. "Gender heterogeneity in the sell-side analyst recommendation issuing process," Finance Research Letters, Elsevier, vol. 11(2), pages 104-111.
    6. Lin, Wen-Chun & Chang, Shao-Chi & Chen, Sheng-Syan & Liao, Tsai-Ling, 2013. "The over-optimism of financial analysts and the long-run performance of firms following private placements of equity," Finance Research Letters, Elsevier, vol. 10(2), pages 82-92.
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    More about this item

    Keywords

    Market prices; Asset pricing; Analysts' recommendations; State space model;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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