Short‐Term Institutions, Analyst Recommendations, and Mispricing: The Role of Higher Order Beliefs
研究发现，被短期机构大量持有的股票，其分析师推荐后的价格会出现反转，即前期表现好的后续变差，前期差的后续变好，这种可预测的反转源于对推荐信息的过度反应及后续修正，且在盈利公告发布和基本面不确定性高的公司中更明显。
ABSTRACT 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.