Sell-side analysts employ different benchmarks when defining their stock recommendations. For example, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector (“industry benchmarkers”), while for other brokers it means the stock is expected to outperform the market (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use these benchmarks to analyze the role of stock picking, industry picking and market timing in contributing to the performance of stock recommendations. We are able to do so given that different benchmarks suggest the use of different sets of abilities. Analysis of the relation between analysts’ recommendations and their long-term growth and earnings forecasts suggests that analysts indeed abide by their benchmarks: Industry benchmarkers rely less on across-industry information, and focus more on ranking firms within their industries. We find strong evidence that the investment value of stock recommendations stems from analysts picking winners and losers within a particular industry (stock picking). We find no evidence of either industry picking or market timing. The research carries implications for the correct understanding and interpretation of sell-side research and its investment value.