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Могут ли фондовые аналитики предсказать рыночный риск? Новые сведения из теории копулы // Can Stock Analysts Predict Market Risk? New Evidence from Copula Theory


  • I. Medovikov S.

    (Brock university)

  • И. Медовиков С.

    (Университет Брок)


We assess investment value of stock recommendations from the standpoint of market risk. We match I/B/E/S (Institutional Brokers’ Estimates System) consensus recommendations issued in January 2015 for a cross-section of u.S. public equities with realized volatility of these papers, showing that these recommendations signifcantly correlate with subsequent changes in market risk. Thus, the results indicate that to some extent the analysts can predict an increase or decrease in risk, which can beneft asset management. However, the relationship between the recommendations and the risk is not linear and depends on the specifc recommendation. using a semi-parametric copula model, we fnd recommendation levels to be associated with future changes in volatility. We further fnd this relationship to be asymmetric and most pronounced among the best-rated stocks which experience largest volatility declines. We conduct a trading simulation showing how stock selection based on such ratings can lead to a reduction in portfolio-level value-at-risk. Статья оценивает способность финансовых аналитиков прогнозировать рыночный риск. Сопоставляя консенсус-рекомендации, выпущенные аналитиками для акций публичных компаний США, содержащихся в системе I/B/E/S (Institutional Brokers’ Estimates System) на январь 2015 г., с фактической волатильностью этих бумаг, мы показываем, что эти рекомендации значимо коррелируют с последующими изменениями в уровне рыночного риска. Таким образом, наши результаты указывают на то, что аналитики хотя бы в какой-то степени способны предсказать нарастание или убывание риска, что может принести пользу в управлении активами. Однако взаимоотношение между рекомендациями и риском не является линейным и зависит от конкретной рекомендации. Используя семи-параметрическую статистическую модель на основе теории копул, автор показывает, что «экстремальные» рекомендации (т.е. самые положительные или самые отрицательные) несут гораздо большую информационную нагрузку, чем остальные. В контексте научной литературы на данную тему результаты исследования, по-видимому, представляют собой одну из первых попыток установить эмпирическую зависимость между рекомендациями аналитиков и рыночным риском.

Suggested Citation

  • I. Medovikov S. & И. Медовиков С., 2019. "Могут ли фондовые аналитики предсказать рыночный риск? Новые сведения из теории копулы // Can Stock Analysts Predict Market Risk? New Evidence from Copula Theory," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 23(1), pages 38-48.
  • Handle: RePEc:scn:financ:y:2019:i:1:p:38-48

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    References listed on IDEAS

    1. Medovikov, Ivan, 2014. "Can analysts predict rallies better than crashes?," Finance Research Letters, Elsevier, vol. 11(4), pages 319-325.
    2. Devos, Erik & Hao, Wei & Prevost, Andrew K. & Wongchoti, Udomsak, 2015. "Stock return synchronicity and the market response to analyst recommendation revisions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 376-389.
    3. Roger K. Loh & René M. Stulz, 2011. "When Are Analyst Recommendation Changes Influential?," Review of Financial Studies, Society for Financial Studies, vol. 24(2), pages 593-627.
    4. Ning, Cathy, 2010. "Dependence structure between the equity market and the foreign exchange market-A copula approach," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 743-759, September.
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