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Sébastien Galanti and Zahra Ben Braham
''Information efficiency on an emerging market: analysts' recommendations in Tunisia''
( 2017, Vol. 37 No.1 )
We use a unique database, collected by aggregating analysts' reports on the Tunisian Stock Exchange. We study the price impact and the excess returns following analysts' recommendations. Results are qualitatively in line with the literature. However, although often significant, the results are not as bold as one expects in a frontier market. We hypothesize that the market is not liquid enough for trades to fully convey the information content of recommendations. Moreover, we find that reiterated recommendations have more impact than revised recommendations. Studying reiterated recommendations provides original results. This is important, as it suggests that it could be more profitable for investors to follow reiterations on emerging markets.
Keywords: Financial analysts, recommendations, information, efficiency, emerging markets, price impact, excess returns
JEL: G2 - Financial Institutions and Services: General
Manuscript Received : Oct 16 2015 Manuscript Accepted : Feb 22 2017

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