IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

El Valor De Las Recomendaciones De Consenso De Los Analistas Financieros En El Mercado De Capitales Español

Listed author(s):
  • Juan Carlos Gómez Sala


    (Universidad de Alicante)

  • Germán López Espinosa

    (Universidad de Navarra)

In this paper we examine the value of analysts’ stock recommendations in the Spanish capital market in the period 1994-2003, using data from JCF Quant. In every month of the sample period the assets have been classified into five portfolios first attending its consensus recommendations level and second by changes of consensus level. The portfolio recommendations returns have been estimated using different models in the context of the portfolio calendar-time methodology. The results obtained show that sell-side analysts are able to detect profitable investment opportunities. Investors could obtain significant positive risk adjusted abnormal returns buying the best recommended assets and selling simultaneously the worst consensus stocks. However a portion of these returns could be attributed to their tendency to recommend the acquisition of big “value” stocks and the sell of small shares with negative prices momentum. Finally, the value of analyst’s recommendations is independent of the firm information level approached by the company size and the number of analysts following it. En este trabajo se analiza el valor de las recomendaciones de inversión de los analistas financieros en el mercado de capitales español en el periodo 1994-2003, con datos procedentes de JCF Quant. Los activos se han clasificado cada mes del periodo muestral en cinco carteras en función del nivel de consenso de las recomendaciones y de sus variaciones. La rentabilidad de las carteras de recomendaciones (cambios) se ha estimado utilizando modelizaciones alternativas con una metodología de tiempo de calendario. Los resultados obtenidos muestran que los analistas identifican oportunidades de inversión rentables, dado que con una estrategia de inversión autofinanciada, consistente en comprar la cartera con recomendaciones más favorables y vender la cesta de activos con peores recomendaciones, se pueden obtener rentabilidades significativamente positivas incluso después de ajustar por riesgo. Parte de esta rentabilidad no es atribuible a su propia capacidad sino a la tendencia a recomendar la compra de activos grandes de valor y la venta de activos pequeños con momentum de precios negativo. Finalmente, el valor de las recomendaciones no parece depender del nivel de información existente sobre las empresas aproximado por el tamaño de las empresas o el número de analistas.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: Fisrt version / Primera version, 2005
Download Restriction: no

Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2005-09.

in new window

Length: 44 pages
Date of creation: Apr 2005
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2005-09
Contact details of provider: Postal:
C/ Guardia Civil, 22, Esc 2a, 1o, E-46020 VALENCIA

Phone: +34 96 319 00 50
Fax: +34 96 319 00 55
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ivi:wpasec:2005-09. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Departamento de Edición)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.