Department of Finance


Date of this Version



Published in Journal of Accounting Research 47:3 (June 2009), pp. 799–821; doi: 10.1111/j.1475-679X.2009.00337.x Copyright © 2009 University of Chicago on behalf of the Institute of Professional Accounting, 2009; published by Accounting Research Center (ARC) at the University of Chicago Booth School of Business in partnership with Wiley-Blackwell. Used by permission.


Using more than 350,000 sell-side analyst recommendations from January 1994 to August 2006, this paper examines the predictive content of aggregate analyst recommendations. We find that changes in aggregate analyst recommendations forecast future market excess returns after controlling for macroeconomic variables that have been shown to influence market returns. Similarly, changes in industry-aggregated analyst recommendations predict future industry returns. Changes in aggregate analyst recommendations also predict one-quarter-ahead aggregate earnings growth. Overall, our results suggest that analyst recommendations contain market- and industry-level information about future returns and earnings.