Özet:

Financial analysts not only contribute to the informational efficiency of stock markets with their detailed reports, they also have the power to influence portfolio decisions of the larger financial investment industry through their recommendations. This study aims to explain the returns of portfolios formed based on analyst recommendations on Borsa Istanbul (BIST) stocks via known risk factors and to test the success of such recommendations in generating risk-adjusted alphas. In that regard, the returns of equal and value weighed portfolios based on analyst recommendations have been tested via CAPM, Fama-French and Carhart models. Furthermore, the financial value of analyst recommendations at times of economic turmoil is tested by taking recession periods into consideration. Although positive recommendations from analysts seem to generate additional returns; when explained through well-known risk factors, the existence of an excess return with economic and statistical significance appears questionable. Our findings show that, analyst recommendations cannot be used to generate a meaningful alpha above and beyond the well-known risk factor premiums for BIS within the respective period.

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