标题： 分析师能否比预测崩盘更好地预测上涨？ 显示英文标题

标题： Can Analysts Predict Rallies Better Than Crashes?

摘要： 我们使用copula方法研究卖方分析师共识建议与后续证券收益之间的依赖结构，重点研究非对称尾部依赖。 我们将2011年1月至12月的I/B/E/S建议月份数据与建议发布后六个月的超额证券收益进行匹配。 使用对称乔-克莱顿Copula（SJC）模型，我们发现证据表明分析师可以识别出将显著跑赢市场但无法识别出相对市场表现不佳的股票，并且他们的预测能力取决于建议的变化。 显示英文摘要

摘要： We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with excess security returns during six months following recommendation issue. Using a symmetrized Joe-Clayton Copula (SJC) model we find evidence to suggest that analysts can identify stocks that will substantially outperform, but not underperform relative to the market, and that their predictive ability is conditional on recommendation changes.