Detail práce

Bias and Accuracy in Equity Research: The Case of CFA Challenge

Autor: Bc. Pavel Hloušek
Rok: 2018 - letní
Vedoucí: Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair
Konzultant:
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 48
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/191053/
Abstrakt: Abstract This thesis analyses drivers of optimistic bias in equity research and substance of ability in explaining differences in accuracy among equity analysts. I have shown the existence of a relevant reason for optimistic bias in equity research, which is not related to conflict of interest - the usually referred driver of the bias. Then I have supported the stream of literature showing that analyst's ability is not a strong determinant of analyst's accuracy. A new perspective on the topics is offered by using a sample of equity reports from valuation competition CFA Research Challenge. Contribution of the thesis lies (i) in working with a sample of analysts who do not face the conflicts of interest proposed by the literature to be causing optimistic bias, which offers a unique opportunity to test whether such conflict-of- interest-free analysts issue biased recommendations and in (ii) using success in CFA Challenge as a new proxy for ability of equity analysts. The methods used are an analysis of bias and accuracy of target prices, hit-ratio of investment recommendations, and analysis of returns - estimated by CAPM, Fama French three-factor model and Carhart four-factor model.

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance