This paper investigates the relationships among cross-sectional stock returns and analysts' forecast revisions, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22.7% per annum over the 1983-2015 periods. I find that the...

By utilizing survey forecasts of macroeconomic statistics, we find that market participants' expectations are not rational as they exhibit an anchoring bias. The forecasts systematically under-predict macroeconomic statistics and the forecast errors are predicted by past macroeconomic...