Analysts and anomalies

• 成果类型: Article
• 署名作者: Engelberg, Joseph; McLean, R. David; Pontiff, Jeffrey
• 署名单位: University of California System; University of California San Diego; Georgetown University; Boston College
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2019.101249
• 发表日期: 2020
• 关键词: institutional investors; EARNINGS FORECASTS; INVESTMENT; price; INFORMATION; recommendations; valuation; revisions; returns

摘要

Analysts' price targets and recommendations contradict stock return anomaly variables. Using an index based on 125 anomalies, we find that analysts' annual stock return forecasts are 11% higher for anomaly-shorts than for anomaly-longs. Anomaly-shorts' return forecasts are excessively optimistic, exceeding realized returns by 34%. Recommendations also tend to be more favorable for anomaly-shorts, although this result varies across anomaly types. Consistent with analysts' slowly incorporating anomaly information, anomalies forecast revisions in both price targets and recommendations. Our findings imply that investors who follow analysts' actionable information contribute to mispricing. (C) 2019 Elsevier B.V. All rights reserved.