Does Analyst Bias Drive Stock Return Anomalies? An Empirical Investigation

摘要

We study the relation among analyst forecast bias, firm characterstics, and equity return anomalies. We propose simple corrections for the raw an- alyst forecasts and document that these corrections significantly reduce the forecast error. We aggregate individual stocks into portfolios that are com- monly studied in finance and examine analyst forecast bias at portfolio levels. We find that analysts forecasts are too high over all portfolios of interest and are particularly high for small/growth and small/loser stocks. This means on average analysts show the same optimism for these stocks as investors do, as postulated in the behavioral explanation of equity return anomalies. However, we find that we cannot use analyst optimism to construct portfo- lios that earn significantly abnormal return once other firm characteristics are controlled for.