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Analyst Bias and Mispricing / Mark Grinblatt, Gergana Jostova, Alexander Philipov.
- Format:
- Book
- Author/Creator:
- Grinblatt, Mark.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w31094.
- NBER working paper series no. w31094
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2023.
- Summary:
- Cross-sectional forecasts of conservative and optimistic biases in analyst earnings estimates predict a stock's future returns, especially for firms that are hard to value. Trading strategies--whether based on the component of analyst bias that is correlated with major return anomalies or the component that is orthogonal to these anomalies--earn abnormal profits. The prevalence of optimistic analyst earnings estimates and rarity of conservative estimates emerges as a common link between anomaly-generating firm characteristics and subsequent negative alphas. For the vast majority of anomaly strategies, profitability disappears once we control for analyst bias.
- Notes:
- Print version record
- March 2023.
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