Measuring and comparing the added value of analysts' stock recommendations

Details

Supervisors

Petitjean, Mikael

Faculty

Louvain School of Management

Degree label

Master [120] en sciences de gestion

Abstract

This master thesis reviews the recommendations made by the guests of the TV-Show “C’est votre argent” over the period May 8, 2015, to December 31, 2019, by employing various performance and risk-adjusted performance indicators: Annualized return, Sharpe ratio, Treynor ratio, Information ratio, Jensen’s Alpha and M-squared. But also, some risk indicators: standard deviation, Value at Risk and Expected Shortfall. Through the Peer Performance package developed by Ardia, Boudt and Bouamara (2018) in R, a luck corrected risk-adjusted performance analysis is also realized. The analysis of the size effect and the consequences of the home bias in the sample of recommendations is also developed. This thesis finds that four guests (Christian Bito, Sébastien Faijean, Louis de Montalembert and Virginie Robert) significantly outperformed the other guests. There is no evidence of the size effect in the sample of recommendations retrieved, but there is some evidence that the home bias has an impact on analysts’ performance.