A Time-Series Bootstrapping Simulation Method to Distinguish Sell-Side Analysts’ Skill from Luck

Abstract

This is a repository copy of A time-series bootstrapping simulation method to distinguish sell-side analysts' skill from luck.

The performance of UK stock recommendation revisions: Does brokerage house reputation matter?

“…12 12 In contrast, Su et al (2019) develop a rolling window‐based time‐series bootstrap simulation method, producing simulated results for the up/downgrade portfolio including all stocks recommended by Top 5 BHs in a total of 4,420 one‐year rolling windows over the whole sample period January 1995 to June 2013 (see, also., Su & Zhang, 2020). The objective of the time‐series bootstrap simulations is to test whether Top 5 BHs are able to generate superior recommendation performance in certain time periods. …”