Understanding the Determinants of Analyst Target Price Implied Returns
研究了分析师目标价隐含收益的四个决定因素：未来实际股票收益、基本面预测误差、风险预期误差和分析师激励偏差，发现风险预期误差影响最大，且投资者未能完全纠正预测偏差。
ABSTRACT We investigate the determinants of analysts' target price implied returns and the implication of our findings for investment decision-making. We identify four broad sets of factors that help explain the cross-sectional variation in target price implied returns: future realized stock returns, errors in forecasting fundamentals, errors in forecasting the expected return to risk, and biases relating to analysts' incentives. Our results suggest that all four sets help explain target price implied returns, with errors in forecasting the expected return to empirical risk proxies having the greatest impact. Collectively, these variables explain nearly a quarter of the cross-sectional variation in target price implied returns. We use our model to predict the optimistic bias in target price implied returns and evaluate whether investors correctly ignore the predictable bias. The results suggest that investors make similar valuation errors to analysts and/or do not perfectly back out the predicted bias in target prices. JEL Classifications: M40; M41; G14.