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Abnormal Returns and Risk Adjusted Performance of Analyst-Driven Portfolios: Evidence from Swedish Equity Research

Niemelä, Eemeli Vertti Julius LU (2025) NEKN02 20251
Department of Economics
Abstract
This thesis investigates whether portfolios constructed from over 8000 recommendations from analyst companies operating in Sweden (2019-2024), outperform their benchmarks and generate abnormal returns in excess of common risk factors. Four of the six analyst-driven portfolios outperformed their respective indices in cumulative returns, but factor model explained most of the excess performance. Notably, Redeye’s and Inderes’ portfolios provided a statistically significant alpha even after market, size, value, and momentum factors were controlled for, suggesting genuine informational value. The findings suggest the reality of the fact that while most analyst recommendations reflect factor exposures, some contain unique skill or insight,... (More)
This thesis investigates whether portfolios constructed from over 8000 recommendations from analyst companies operating in Sweden (2019-2024), outperform their benchmarks and generate abnormal returns in excess of common risk factors. Four of the six analyst-driven portfolios outperformed their respective indices in cumulative returns, but factor model explained most of the excess performance. Notably, Redeye’s and Inderes’ portfolios provided a statistically significant alpha even after market, size, value, and momentum factors were controlled for, suggesting genuine informational value. The findings suggest the reality of the fact that while most analyst recommendations reflect factor exposures, some contain unique skill or insight, underlining that selective use of analyst research can provide long-term abnormal returns in the Swedish market. (Less)
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author
Niemelä, Eemeli Vertti Julius LU
supervisor
organization
course
NEKN02 20251
year
type
H1 - Master's Degree (One Year)
subject
keywords
Analyst Recommendations, Fama-French Model, Abnormal Returns, Alpha, Market Efficiency.
language
English
id
9212957
date added to LUP
2025-11-03 08:42:22
date last changed
2025-11-03 08:42:22
@misc{9212957,
  abstract     = {{This thesis investigates whether portfolios constructed from over 8000 recommendations from analyst companies operating in Sweden (2019-2024), outperform their benchmarks and generate abnormal returns in excess of common risk factors. Four of the six analyst-driven portfolios outperformed their respective indices in cumulative returns, but factor model explained most of the excess performance. Notably, Redeye’s and Inderes’ portfolios provided a statistically significant alpha even after market, size, value, and momentum factors were controlled for, suggesting genuine informational value. The findings suggest the reality of the fact that while most analyst recommendations reflect factor exposures, some contain unique skill or insight, underlining that selective use of analyst research can provide long-term abnormal returns in the Swedish market.}},
  author       = {{Niemelä, Eemeli Vertti Julius}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Abnormal Returns and Risk Adjusted Performance of Analyst-Driven Portfolios: Evidence from Swedish Equity Research}},
  year         = {{2025}},
}