To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

This paper analyses the investment value of analysts' consensus recommendations and their changes in eight developed stock markets using equity recommendations from Factset/JCF database, in the period from January 1994 to June 2004. Our results show that analysts are optimistically biased,...