  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.
