DC Field | Value | Language |
---|---|---|
dc.contributor.author | Han, Chulwoo | ko |
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Kim, Sun Yung | ko |
dc.date.accessioned | 2022-12-19T02:00:42Z | - |
dc.date.available | 2022-12-19T02:00:42Z | - |
dc.date.created | 2022-12-19 | - |
dc.date.created | 2022-12-19 | - |
dc.date.issued | 2022-06 | - |
dc.identifier.citation | JOURNAL OF FINANCIAL MARKETS, v.59 | - |
dc.identifier.issn | 1386-4181 | - |
dc.identifier.uri | http://hdl.handle.net/10203/303151 | - |
dc.description.abstract | Using a robust measure that captures the market's reaction to analysts' target price releases, we show that the initial stock price reaction corresponds to target prices, but the price drifts in the opposite direction for a long period, resulting in negative cross-sectional predictability. In the U.S. market from 1999 to 2020, the derived long-short portfolio generates a significant one-month ahead return of 0.75% and 10.00% over a year and possesses favorable features: its profit is higher among large and liquid stocks, originates from long positions, and lasts long. Empirical evidence suggests that the return reversal is caused by both discount rate shifts and mispricing correction following target price releases. | - |
dc.language | English | - |
dc.publisher | ELSEVIER | - |
dc.title | Betting against analyst target price | - |
dc.type | Article | - |
dc.identifier.wosid | 000889264100011 | - |
dc.identifier.scopusid | 2-s2.0-85119923075 | - |
dc.type.rims | ART | - |
dc.citation.volume | 59 | - |
dc.citation.publicationname | JOURNAL OF FINANCIAL MARKETS | - |
dc.identifier.doi | 10.1016/j.finmar.2021.100677 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Han, Chulwoo | - |
dc.contributor.nonIdAuthor | Kim, Sun Yung | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Net number of optimistic analysts (NOA) | - |
dc.subject.keywordAuthor | Target price | - |
dc.subject.keywordAuthor | Discount rate | - |
dc.subject.keywordAuthor | Mispricing | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | TRADING VOLUME | - |
dc.subject.keywordPlus | STOCK RETURNS | - |
dc.subject.keywordPlus | ANOMALIES | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | LIQUIDITY | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordPlus | FORECASTS | - |
dc.subject.keywordPlus | INVESTORS | - |
dc.subject.keywordPlus | ACCURACY | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.