C. Han
Betting against analyst target price
Han, C.; Kang, J.; Kim, S.
Authors
J. Kang
S. Kim
Abstract
Using a robust measure that captures the market’s reaction to analysts’ target price releases, we show that the initial stock price reaction corresponds to target prices, but the price drifts in the opposite direction for a long period, resulting in negative crosssectional predictability. In the U.S. market from 1999 to 2002, the derived long-short portfolio generates a significant one-month ahead return of 0.75% and 10.00% over a year and possesses favorable features: its profit is higher among large and liquid stocks, originates from long positions, and lasts long. Empirical evidence suggests that the return reversal is caused by both discount rate shifts and mispricing correction following target price releases.
Citation
Han, C., Kang, J., & Kim, S. (2022). Betting against analyst target price. Journal of Financial Markets, 59(Part B), Article 100677. https://doi.org/10.1016/j.finmar.2021.100677
Journal Article Type | Article |
---|---|
Acceptance Date | Sep 23, 2021 |
Online Publication Date | Oct 14, 2021 |
Publication Date | 2022-06 |
Deposit Date | Sep 28, 2021 |
Publicly Available Date | Oct 15, 2023 |
Journal | Journal of Financial Markets |
Print ISSN | 1386-4181 |
Electronic ISSN | 1878-576X |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 59 |
Issue | Part B |
Article Number | 100677 |
DOI | https://doi.org/10.1016/j.finmar.2021.100677 |
Public URL | https://durham-repository.worktribe.com/output/1239016 |
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Publisher Licence URL
http://creativecommons.org/licenses/by-nc-nd/4.0/
Copyright Statement
© 2021 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
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