Analysts and Anomalies
52 Pages Posted: 23 Mar 2017 Last revised: 5 Mar 2018
Date Written: March 1, 2018
Analysts’ price targets and recommendations contradict stock return anomaly variables. Analysts’ one-year return forecasts are 31% for anomaly-longs and 44% for anomaly-shorts. Similarly, analysts issue more favorable recommendations for anomaly-shorts than anomaly-longs. We find similar results among all-star analysts. Our findings imply that investors who follow actionable, analyst information contribute to mispricing.
Keywords: Anomalies, Analysts, Market Efficiency
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