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Aktierekommendationer som placeringsstrategi

Eklind, Anders LU (2016) NEKH01 20152
Department of Economics
Abstract (Swedish)
I den här studien analyseras 2052 köp- och säljrekommendationer av aktier från de fyra
svenska storbankerna Handelsbanken, Nordea, SEB och Swedbank. Studien avser
rekommendationer som gavs mellan 1 januari 2010 och 10 oktober 2014 på bolag som
10 oktober 2015 var noterade på Stockholmsbörsens Large cap-lista. Studien delas in i
två delar; Studie 1 – Analys av rekommendationerna och Studie 2 – Analys av riktkurserna.
I Studie 1 analyseras köp- och säljrekommendationerna var för sig och i Studie 2
analyseras rekommendationernas riktkurser separat.

I Studie 1 skapas åtta olika portföljer för varje bank som på olika sätt följer köp- och
säljrekommendationer. De olika portföljernas placeringsstrategier är dels att köpa
... (More)
I den här studien analyseras 2052 köp- och säljrekommendationer av aktier från de fyra
svenska storbankerna Handelsbanken, Nordea, SEB och Swedbank. Studien avser
rekommendationer som gavs mellan 1 januari 2010 och 10 oktober 2014 på bolag som
10 oktober 2015 var noterade på Stockholmsbörsens Large cap-lista. Studien delas in i
två delar; Studie 1 – Analys av rekommendationerna och Studie 2 – Analys av riktkurserna.
I Studie 1 analyseras köp- och säljrekommendationerna var för sig och i Studie 2
analyseras rekommendationernas riktkurser separat.

I Studie 1 skapas åtta olika portföljer för varje bank som på olika sätt följer köp- och
säljrekommendationer. De olika portföljernas placeringsstrategier är dels att köpa
köprekommenderade aktier, dels att både köpa köprekommenderade aktier och att
blanka säljrekommenderade aktier och dels att bara blanka säljrekommenderade aktier.
Portföljernas dagsavkastningar jämförs med dagsavkastningarna för ett likaviktat
jämförelseindex över alla Large cap-bolag. För att avgöra om portföljerna avkastar
bättre eller sämre än jämförelseindex genomförs ett t-test på signifikansnivån 5 procent.
Resultatet visar att få av bankerna genom sina köp- och säljrekommendationer varken
lyckas hitta aktier som avkastar bättre eller sämre än ett likaviktat jämförelseindex.
Handelsbanken och Nordea lyckas genom sina köprekommendationer nå högre
avkastning än jämförelseindex. Nordeas säljrekommenderade aktier har signifikant
sämre avkastning än jämförelseindex. I övriga portföljer ses ingen signifikant skild
avkastning från jämförelseindex vilket tyder på att Stockholmsbörsens Large cap-lista
karakteriseras av svag effektivitet och möjligen även semistark effektivitet.

I Studie 2 jämförs riktkurserna från rekommendationerna med aktiernas verkliga utfall
ett år efter rekommendationerna. Resultatet visar att bankerna signifikant
överestimerar aktiernas framtida pris vid köprekommendationerna. Fördelningen av
riktkurserna vid säljrekommendationerna är mer spridda men ingen generell över- eller
underestimering kan ses. (Less)
Abstract
In this study 2052 stock recommendations from the four largest Swedish banks
Handelsbanken, Nordea, SEB and Swedbank are analysed. The study includes stock
recommendations between January 1, 2010 and October 10, 2014 of companies that
were listed on the Nasdaq Stockholm Large cap list on October 10, 2015. The study is
divided into two parts; Study 1 – Analysis of the recommendations and Study 2 – Analysis
of the price targets. In Study 1 the buy and sell recommendations are analysed separately
and in Study 2 the price targets are analysed.

In Study 1 eight different portfolios are constructed for each bank. The different
portfolios are in different ways following buy and sell recommendations of stocks. The
different investment... (More)
In this study 2052 stock recommendations from the four largest Swedish banks
Handelsbanken, Nordea, SEB and Swedbank are analysed. The study includes stock
recommendations between January 1, 2010 and October 10, 2014 of companies that
were listed on the Nasdaq Stockholm Large cap list on October 10, 2015. The study is
divided into two parts; Study 1 – Analysis of the recommendations and Study 2 – Analysis
of the price targets. In Study 1 the buy and sell recommendations are analysed separately
and in Study 2 the price targets are analysed.

In Study 1 eight different portfolios are constructed for each bank. The different
portfolios are in different ways following buy and sell recommendations of stocks. The
different investment strategies are for some portfolios to buy stocks with buy
recommendations, for some portfolios to buy stocks with buy recommendations and to
short stocks with sell recommendations and for some portfolios to short stocks with sell
recommendations. The eight portfolios daily returns are compared with a benchmark
index over Large cap companies. To determine whether the portfolios yield higher or
lower than the benchmark index, a t-test is accomplished at the significance level of 5
percent. The results show that few of the banks are skilled at identifying stocks that will
yield higher or lower than the benchmark index. Through their buy recommendations of
stocks, Handelsbanken and Nordea reach significant higher yield than the benchmark
index. Nordea’s sell recommended stocks reach significant lower yield than the
benchmark index. No investment strategy that involves to short sell recommended
stocks have significant different yield than the benchmark index. No other portfolio have
significant different yield than the benchmark index. That indicates that the Nasdaq
Stockholm Large cap market is characterised by weak and possibly even semi-strong
efficiency.

In Study 2 the price targets of the recommendations are compared with the actual
outcome of the stocks. The results show that the banks significantly overestimate the
future value of the stocks in the buy recommendations. The price targets of sell
recommendations are more spread but no over- or underestimations are seen. (Less)
Please use this url to cite or link to this publication:
author
Eklind, Anders LU
supervisor
organization
alternative title
Är det en lönsam placeringsstrategi att följa de svenska storbankernas köp- och säljrekommendationer av aktier?
course
NEKH01 20152
year
type
M2 - Bachelor Degree
subject
keywords
Aktierekommendationer, Placeringsstrategi, Large cap, Storbankerna
language
Swedish
id
8603638
date added to LUP
2016-02-11 14:59:41
date last changed
2016-02-11 14:59:41
@misc{8603638,
  abstract     = {In this study 2052 stock recommendations from the four largest Swedish banks
Handelsbanken, Nordea, SEB and Swedbank are analysed. The study includes stock
recommendations between January 1, 2010 and October 10, 2014 of companies that
were listed on the Nasdaq Stockholm Large cap list on October 10, 2015. The study is
divided into two parts; Study 1 – Analysis of the recommendations and Study 2 – Analysis
of the price targets. In Study 1 the buy and sell recommendations are analysed separately
and in Study 2 the price targets are analysed.

In Study 1 eight different portfolios are constructed for each bank. The different
portfolios are in different ways following buy and sell recommendations of stocks. The
different investment strategies are for some portfolios to buy stocks with buy
recommendations, for some portfolios to buy stocks with buy recommendations and to
short stocks with sell recommendations and for some portfolios to short stocks with sell
recommendations. The eight portfolios daily returns are compared with a benchmark
index over Large cap companies. To determine whether the portfolios yield higher or
lower than the benchmark index, a t-test is accomplished at the significance level of 5
percent. The results show that few of the banks are skilled at identifying stocks that will
yield higher or lower than the benchmark index. Through their buy recommendations of
stocks, Handelsbanken and Nordea reach significant higher yield than the benchmark
index. Nordea’s sell recommended stocks reach significant lower yield than the
benchmark index. No investment strategy that involves to short sell recommended
stocks have significant different yield than the benchmark index. No other portfolio have
significant different yield than the benchmark index. That indicates that the Nasdaq
Stockholm Large cap market is characterised by weak and possibly even semi-strong
efficiency.

In Study 2 the price targets of the recommendations are compared with the actual
outcome of the stocks. The results show that the banks significantly overestimate the
future value of the stocks in the buy recommendations. The price targets of sell
recommendations are more spread but no over- or underestimations are seen.},
  author       = {Eklind, Anders},
  keyword      = {Aktierekommendationer,Placeringsstrategi,Large cap,Storbankerna},
  language     = {swe},
  note         = {Student Paper},
  title        = {Aktierekommendationer som placeringsstrategi},
  year         = {2016},
}