Short‐Term Institutions, Analyst Recommendations, and Mispricing: The Role of Higher Order Beliefs

Autor:	Ankur Pareek, Martijn Cremers, Zacharias Sautner
Rok vydání:	2021
Předmět:	Economics and Econometrics short‐term institutions 050208 finance Earnings media_common.quotation_subject 05 social sciences mispricing 050201 accounting Monetary economics Pessimism analyst recommendations Term (time) Order (exchange) Accounting ddc:650 0502 economics and business Economics higher order beliefs Finance media_common
Zdroj:	Journal of Accounting Research. 59:911-958
ISSN:	1475-679X 0021-8456
DOI:	10.1111/1475-679x.12352
Popis:	We document that stocks that have optimistic (pessimistic) consensus recommendations and are currently held by many short-term institutions exhibit large stock-return reversals: Their large past outperformance (underperformance) is followed by large negative (positive) future alphas. The predictable return reversals originate from overreaction to past recommendation releases and the correction of these overreactions around future releases. Results are stronger when earnings news is released and at firms with higher fundamental uncertainty. Further, firms with more short-term institutions show stronger announcement returns and price drift after recommendation changes. Our results are consistent with models of higher order beliefs where short-term institutions coordinate trading around public signals.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8a0a2d20c1bda8abb5f0fbe2b40ea508 https://doi.org/10.1111/1475-679x.12352 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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