By Brav A., Lehavy R.
Utilizing a wide database of analysts' aim costs issued over the interval 1997-1999, we research temporary marketplace reactions to focus on fee revisions and long term comovement of objective and inventory prices.We ¢nd a signi¢cant marketplace response to the data contained in analysts' goal costs, either unconditionally and conditional on contemporaneously issued inventory advice and profits forecast revisions. utilizing a cointegration strategy, we examine the long term habit of industry and objective prices.We ¢nd that, on regular, the one-year-ahead aim rate is 28 percentage larger than the present industry cost.
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Additional info for An Empirical Analysis of Analysts’ Target Prices: Short-term Informativeness and Long-term Dynamics
The indicator variables assume the value 1 for the relevant recommendation revision and 0 otherwise. The recommendation categories are upgrades, downgrades, and reiterations. Abnormal returns are computed as the di¡erence between the ¢rm buy-and-hold return and the buy-and-hold return on the NYSE/AMEX/Nasdaq value-weighted index over the period beginning two days prior to and ending two days subsequent to the target price announcement. Earnings forecast revision, denoted DF/P, is computed as the percentage change in the brokerage house current and prior annual earnings forecast scaled by preannouncement stock price.
Lawrence D. Brown, and Gordon D. Richardson, 1995, Analysts use of earnings forecasts in predicting stock returns: Forecast horizon e¡ects, International Journal of Forecasting 11, 429 ^ 445. Barber, Brad, Reuven Lehavy, Maureen McNichols, and Brett Trueman, 2001, Can investors pro¢t from the prophets? Security analyst recommendations and stock returns, Journal of Finance 56, 531^565. 1966 The Journal of Finance Barber, Brad, Reuven Lehavy, Maureen McNichols, and Brett Trueman, 2003, Prophets and losses: Reassessing the returns to analysts’ stock recommendations, Financial Analyst Journal, March/ April, 88 ^96.
Journal of Finance 51, 137^167.