Bonini, Stefano
[VerfasserIn]
;
Zanetti, Laura
[Sonstige Person, Familie und Körperschaft];
Bianchini, Roberto
[Sonstige Person, Familie und Körperschaft];
Salvi, Antonio
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Journal of Business, Finance and Accounting, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 15, 2010 erstellt
Beschreibung:
Analysts' target prices have received limited attention in academic research. In this paper we try to fill the gap by developing an innovative multi-layer accuracy metric that we test on a novel database. Our analysis shows that forecasting accuracy is very limited: prediction errors are consistent, autocorrelated, non-mean reverting and large (up to 46%). Controlling for market and company factors, we find evidence that factors like inclusion in the market index, market momentum, size and market value are all negatively correlated with accuracy These unexpected results suggest that analysts research is systematically biased which supports theoretical predictions by Ottaviani and Sorensen (2006). Since forecasting is largely an unmonitored activity, market participants may fail in fully understanding this behavior thus not arbitraging away these inefficiencies