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Analyst Bias and Mispricing

Mark Grinblatt

出版	SSRN, 2018
URL	http://books.google.com.hk/books?id=0S_7zgEACAAJ&hl=&source=gbs_api

註釋

Predictable biases in analyst forecasts, both conservative and optimistic, distort share prices, but only for firms with hard-to-forecast earnings--those with extreme past returns, credit risk, idiosyncratic volatility, and other attributes linked to 14 popular anomalies. The prevalence of analyst optimism (and the rarity of analyst conservatism) among these firms emerges as a likely explanation for their overpricing and subsequent negative alphas. The profitability of anomaly strategies disappears once we account for analyst bias.