Ravi Lonkani, Chiang Mai University

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• Ravi Lonkani, Chiang Mai University
• Anya Khanthavit, Thammasat Uninversity
• Pornchai Chunahachinda, Thammasat Uninversity

Salt Lake City Friday 13th October, 2006
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• Thailand Research Fund.
• Sungvien Indaravichai foundation.
• Gady Jacoby Manitoaba University
• The Stock Exchange of Thailand
• The Security Analyst Association
• ????????????????????
• ,

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• Rationale Objective
• Literature Review
• Data
• Methodology Results
• Conclusion
• Discussion

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• ??????????? ???????????????? ????????????
• ??????????????????????????????????????????????
  The Value of Analysts Recommendations ????????

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???????????? 1. ??????????????

• ??????????????????????????????????????????????????
  ???????????
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  ??????

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• Analyst Coverage and recommendations
• Womack(1996), Khantavit(1999), Barber et
  al.(2001), Desai et al.(2000), Jegadeesh et al.
  (2003)
• Irvine(2003), Chan(2004)
• Portfolio test on the value of recommendation
• Barber et al.(2001), Jegadeesh and Kim (2003)
• Analysts biases and characteristic
• Michaely and Womack(1999), Kubik(2003), Cowen,
  Groysberg and Healy (2003)
• Sorescu and Subrahyanam(2004)
• Rajan and Servaes(1997)
• Lai and Teo (2006), Chang and Seasholes(2003)

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• ??????????????????????? (Heterogeneity of
  participants)
• Heterogeneity of investors significant
  individual investors relative to institution
  investors
• Heterogeneity of analysts- foreign, local,
  institution
• ???????????????? (Constraint of trading activity)
• short sell is limited
• high degree of asymmetric information among
  participants (Kim et al. (2004)),
• high involvement of family owners
  (Wiwattanakantang (2000)).

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• H1 ???????????????????????????????????????????
  ??????????????????????????????????????????????????
  ??????????????????????????????????????????????????
  ??????????????????????????????????????????????????
  ??????????????????-herding.
• H2 ??????????????????????????????????????????????
  ??????????????????????????????????????????????????
  ????????
• H3 ??????????????????? Short sale
  ??????????????????????????????????????????????????
  ????????????

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• Recommendation data are from I/B/E/S
• Strong buy, buy, hold, underperform, sell
• All relevant data are from DATASTREAM
• Recommendation period 1993 to 2002
• 11,461 recommendations which cover 269 firms.
• (Table 1)

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• ?????????? 7 ??????

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Computed a consensus scores
Form portfolios according to the consensus scores
Observe return structure from each portfolio or
transition of consensus score
(see. Table 5, Table 6) (follow Barber et.al
(2001)
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???????????????????
Event Study Approach
Abnormal Returns
Market-adjusted
Market and Risk Adjusted
Investment Approach
Fama-French Model
CAPM
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?????????????? 1 ?????????????????
Market-Adjusted Return
Market and Risk Adjustd Return
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Market adjusted returns
Market and Risk Adjustd Return
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Market adjusted returns
Market and Risk Adjustd Return
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???????????????????????????? 1

• ?????????????????????????????????????
• ??????????????????????????? ?????????????????
  (????? 7)
• ??????????????????????????????????????????????????
  ??? strong buy ??????????????????????(????? 8,
  9)
• ??????????????????????????????????????????????????
  ?? ?????????????????????????????
• .

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• ????????????????????????????????? (Portfolio)
  ?????????????????????????
• ????????????????????
• ???? Port??????
• ?????????????????????????????? CAPM, FF

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?????????????????? Portfolio ?????????????
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?????????????????? Portfolio ?????????????
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???????????????????????
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• ????????????? ?????????????? strong buy
  recommendations ??????????????????????????????????
  ????????????
• ???????????? ???????! ????????????????????????????
  ????????????????????????????????? ??????
  ???????
• ????????????????????????????
• ??????????????????????????????????????????????????
  ????????????????????????? ?????----

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• ??????????????????????????????????????????????????
  ?????????????????????????????????????????
  ??????????????????????????????????????????
  herding ??????????????????????????????????????????
  ???????

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?????????????????????????????????????

• ??????????????????????????????????????????????????
  ????????????????????????????????
• ??????????????????????????????????????????????????
  ?????????????????????????????
• ??????????????????????????????????????????????????
  ?????????????????????????????????????? ??????
• ???????????????????????????????????????? ??????
  ??? Strong Buy

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• ????????????????????? ????????????????????????????
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• ?????????? ??????????????????????????? ???????
  ??? ??????????????????????????????????????????????
  ???????????

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• Q A