The Cross Section of Analyst Recommendations
检验分析师推荐意见的市场反应，发现高能力分析师的低强度修正后收益持续，低能力分析师的高强度修正后收益反转，符合Griffin和Tversky的假设。
Abstract We analyze the price reaction to analysts' revisions by testing the Griffin and Tversky (1992) hypothesis that agents place emphasis on the strength of the signal (the dramatic nature of the event) and may de-emphasize the weight (the ability of the analyst making the recommendation). Two attributes, namely, years of experience and the reputation of the analysts' brokerage houses form proxies for analyst ability (or weight) that we validate by documenting that revisions by high ability analysts outperform those by low ability ones. We find evidence of return persistence following small (low strength) revisions by high ability analysts and the opposite return pattern following large (high strength) revisions of low ability analysts, consistent with the arguments of Griffin and Tversky (1992). Our study provides an empirical link between evidence on individual decision making and stock market returns, and also helps promote an understanding of the analyst industry as well as its interaction with the investing population.