50 Pages Posted: 19 Dec 2012 Last revised: 10 Mar 2017
Date Written: March 8, 2017
This paper documents how the interaction between the presence of short-term institutions and analyst recommendations is associated with a speculative component in stock prices that results in temporary mispricing with predictable and large price reversals. In particular, stocks held by short-term investors with optimistic (pessimistic) analyst recommendations have large past out(under)-performance, followed by large negative (positive) 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.
Keywords: Investor Horizon, Short-Termism, Analysts, Mispricing
Suggested Citation: Suggested Citation
Cremers, Martijn and Pareek, Ankur and Sautner, Zacharias, Short-Term Institutions, Analyst Recommendations, and Mispricing (March 8, 2017). Available at SSRN: https://ssrn.com/abstract=2190437 or http://dx.doi.org/10.2139/ssrn.2190437
By Andrew Ang