| Abstract |
Recently, in the Stock Exchange of Thailand, The analysts are very important for investors. By providing beneficial information about securities making investor have more information to support their securities transaction.
The objective of this research is to study and measure the performance of analyst recommendation in Thai stocks by using prices and analyst recommendation report of 12 broker companies, 1384 reports. This research used the average price index and the average return of portfolio. Test the difference of data (T-test), Impulse Response Function, Granger Causality and find investment efficiency using Sharp, Treynor and Jensen models
The results showed that before the analyst recommendation are published, The price of stocks will move slightly higher in just a few days and after the analysis was presented to investors The rate of return is immediately reduced. Which related to the results of Impulse Response Function and Granger Causality Test. The average return is response by itself, not deal with the securities analysts recommendation that has been provided by brokers, furthermore, The average return changes and the report occurs do not have a causal relationship. In the case of measuring the efficiency of investments using models of Sharp, Treynor and Jensen, it shows that investing by following the advice of a broker's securities analysis cannot allow investors to outperform the market.
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Publication
Journal Publication
ไทย