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Uit verschillende literaire bronnen blijkt dat aanbevelingen van analisten toch niet volledig waardeloos zijn. In deze thesis onderzoeken wij aan de hand van IBES data voor Belgische aandelen die deel uitmaken van de BEL 20 index of we inderdaad abnormale rendementen kunnen genereren. Na een grondige studie van de literatuur testen we aan de hand van event studies en een portfoliobenadering welke rendementen we kunnen realiseren. Aan de hand van de event study concluderen we dat dit niet mogelijk is. Op basis van de portfoliomethode stellen we echter dat door middel van een buy- en holdstrategie gebaseerd op een publieke consensusscore het mogelijk moet zijn om significante abnormale rendementen te behalen.

Analistenaanbevelingen. --- Consensusscores. --- Event Study. --- IBES. --- Portfoliobenadering.

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This paper is a master study about the valuation effects on security prices in the case of a corporate name change.Authors: Ruben De Saegher and Anouk Himpe

Corporate Name Change. --- Event study. --- Name Change. --- Valuation effects.

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This book is comprised of articles published in a Special Issue of the Journal of Risk and Financial Management entitled "Frontiers in Asset Pricing" with Guest Editors Professor James W. Kolari and Professor Seppo Pynnonen. The book contains papers in various areas related to asset pricing: (1) models; (2) multifactors; (3) theory; (4) empirical tests; (5) applications; (6) other asset classes; and (7) international tests.

Philosophy --- forecasting --- commodity market --- metals --- term structure --- yield spread --- carry cost rate --- hedge ratio --- conditional hedge ratio --- bias adjustments --- earnings --- announcements --- options --- informed trading --- net buying pressure --- volatility --- direction --- at-the-money --- out-of-the-money --- deep-out-of-the-money --- asset pricing --- S&P 500 index --- survivor stocks --- risk factors --- momentum --- Bitcoin --- cryptocurrencies --- outliers --- GARCH-jump --- time-varying jumps --- zero-beta CAPM --- return dispersion --- expectation-maximization (EM) regression --- latent variable --- free-boundary problem --- pairs trading --- stochastic control --- trading strategies --- transaction costs --- transaction regions --- finance --- economics --- event study --- clustered event days --- cross-sectional correlation --- cumulated ranks --- rank test --- standardized abnormal returns --- market index --- market factor --- multifactors --- efficient portfolios --- efficient market hypothesis --- unit root --- spectral analysis --- abnormal returns --- pricing --- market volume --- portfolio profitability --- Poisson model