Исследование конфликтности и детерминант точности прогнозов в рекомендациях российских финансовых аналитиков

Высшая школа экономики , 2015. № 10.

Bronevich A., Penikas H. I., Lepskiy A., Косюк Е. Д.

There is one of the investment strategies on a stock market called a choice of securities including its buying and sale based on financial analysts’ recommendations. The distinguishing characteristic of these recommendations is that in each of it for the same securities there can be different recommendations («Buy», «Sell», «Hold») as well as for one type of recommendations various target (long-term) levels of quoted price can be announced. By this reason it is of interest to analyze the quality of such recommendations. In annotated paper it is given the special consideration to the analysis of accuracy and profitability of financial analysts’ forecasts and recommendations as well as its consensus (conflict). The accuracy and the profitability are investigated by the methods of mathematical statistics. The conflict of forecasts is estimated with the help of the theory of belief functions. The study is based on the analysis of approximately five thousands recommendations and forecasts of investment banks around forty securities of Russian stock market over the period of 2012–2014 years. The analysis of the quality of financial analysts’ recommendations and forecasts helps us to propose the investment strategy that will be able to yield a higher return comparing with traditional strategies.

Keywords: Russian stock market, Shapley value, вектор Шепли, рекомендации аналитиков, мера конфликта, conflict measure, анализ биржевой информации, функции доверия, analysts forecast

Publication based on the results of: Data Analysis and Decision Making in Socio-Economic and Political Systems (2015)