Abstract

http://ssrn.com/abstract=2190437
 
 

References (30)



 
 

Footnotes (11)



 


 



Stock Duration, Analyst Recommendations, and Overvaluation


Martijn Cremers


University of Notre Dame

Ankur Pareek


Rutgers University

Zacharias Sautner


Frankfurt School of Finance & Management gemeinnützige GmbH

June 8, 2016


Abstract:     
This paper documents how the interaction between short-term investors and analyst recommendations relates to a speculative component in stock prices that results in temporary overvaluation with predictable, large price reversals. In particular, stocks held by short-term institutions with optimistic analyst recommendations have large past outperformance, followed by large negative future alphas. Our results are robust to using Russell 2000 index reconstitutions to capture exogenous changes in institutional ownership, short-term trading and analyst coverage, and are stronger among stocks that are harder to short, consistent with limited arbitrage.

Number of Pages in PDF File: 59

Keywords: Investor Horizon, Short-Termism, Analysts, Mispricing


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Date posted: December 19, 2012 ; Last revised: June 9, 2016

Suggested Citation

Cremers, Martijn and Pareek, Ankur and Sautner, Zacharias, Stock Duration, Analyst Recommendations, and Overvaluation (June 8, 2016). Available at SSRN: http://ssrn.com/abstract=2190437 or http://dx.doi.org/10.2139/ssrn.2190437

Contact Information

K. J. Martijn Cremers
University of Notre Dame ( email )
P.O. Box 399
Notre Dame, IN 46556-0399
United States
Ankur Pareek
Rutgers University ( email )
1 Washington Park
Newark, NJ 07102
United States
973-353-1646 (Phone)
Zacharias Sautner (Contact Author)
Frankfurt School of Finance & Management gemeinnützige GmbH ( email )
Sonnemannstraße 9-11
Frankfurt am Main, 60314
Germany
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