Does Analyst Bias Drive Stock Return Anomalies? An Empirical Investigation
We study the relation among analyst forecast bias, firm characterstics, and equity return anomalies. We propose simple corrections for the raw an- alyst forecasts and document that these corrections significantly reduce the forecast error. We aggregate individual stocks into portfolios that are com- monly studied in finance and examine analyst forecast bias at portfolio levels. We find that analysts forecasts are too high over all portfolios of interest and are particularly high for small/growth and small/loser stocks. This means on average analysts show the same optimism for these stocks as investors do, as postulated in the behavioral explanation of equity return anomalies. However, we find that we cannot use analyst optimism to construct portfo- lios that earn significantly abnormal return once other firm characteristics are controlled for.
Ravi Jagannathan Tongshu Ma Antonio Baldaque da Silva
Department of Finance Kellogg Graduate School of Business Northwestern University, Evanston, IL 6020 Department of Finance David Eccles School of Business University of Utah, Salt Lake City, UT84112 Department of Economics Northwestern University
国际会议
昆明
英文
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）