Analysts and Anomalies

52 Pages Posted: 23 Mar 2017 Last revised: 5 Mar 2018

Joseph Engelberg

University of California, San Diego (UCSD) - Rady School of Management

R. David McLean

Georgetown University - Department of Finance

Jeffrey Pontiff

Boston College - Department of Finance

Date Written: March 1, 2018

Abstract

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

Suggested Citation

Engelberg, Joseph and McLean, R. David and Pontiff, Jeffrey, Analysts and Anomalies (March 1, 2018). Georgetown McDonough School of Business Research Paper No. 2939174. Available at SSRN: https://ssrn.com/abstract=2939174 or http://dx.doi.org/10.2139/ssrn.2939174

Joseph Engelberg

University of California, San Diego (UCSD) - Rady School of Management ( email )

9500 Gilman Drive
Rady School of Management
La Jolla, CA 92093
United States

R. David McLean (Contact Author)

Georgetown University - Department of Finance ( email )

3700 O Street, NW
Washington, DC Washington DC 20057
United States

Jeffrey Pontiff

Boston College - Department of Finance ( email )

Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States

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