Analyst rating matters for index futures

Abstract

Analyst recommendations convey valuable market‐wide information which implies analyst rating should generate reliable predictability for future market returns. This paper examines the predictive regressions which forecast the S&P 500 index futures return and volatility with lagged text‐based analyst rating index (TAR index). Empirical evidence shows that the TAR index generates superior in‐sample predictability. This substantial predictability remains after controlling the business cycles, macroeconomic factors, and economic conditions. Also, the TAR index outperforms the prevailing mean out‐of‐sample and generates significant economic performance. Notably, the TAR index also delivers consistent predictive gains on the volatility of index futures returns.

Economic policy uncertainty: A new firm‐level measurement and impact on enterprise innovation strategies

“…Analyst attention is an important external factor affecting the relationship between PEPU and enterprise innovation strategies mainly through information mechanisms and supervision mechanisms. On the one hand, as the vital intermediary of information mining and publishing in the capital market, analysts play an important external influence on enterprise innovation strategies (Fiorillo et al, 2022;Han et al, 2022).…”

“…Analyst attention is an important external factor affecting the relationship between PEPU and enterprise innovation strategies mainly through information mechanisms and supervision mechanisms. On the one hand, as the vital intermediary of information mining and publishing in the capital market, analysts play an important external influence on enterprise innovation strategies (Fiorillo et al, 2022; Han et al, 2022). Unlike ordinary investors, analysts have professional information collection, analysis, and judgment abilities and can valuate enterprises based on the collected information (Chauvin & Hirschey, 1993).…”

Anger in predicting the index futures returns

“…Our paper, as far as we know, is one of the few first to make a thorough investigation of the relationship between lagged multidimensional market moods indices and the futures market. As pointed out by Han et al (2022), the futures market plays a prominent role in the global market by providing market-wide information and leading the spot market in terms of price and return. This means that the fluctuations in investor sentiment, which affect risk-averse investors' preference for the spot market, such as the stock market, can also convey substantial information and pull down or up investors' demand for the futures market.…”