Consistent with a costly arbitrage equilibrium in which arbitrage costs insulate mispricing, this study finds that mutual fund managers have stock-picking ability for stocks with high idiosyncratic volatility but not for stocks with low idiosyncratic volatility. These findings suggest that fund...

Analysts' price targets and recommendations contradict stock return anomaly variables. Using an index based on 125 anomalies, we find that analysts' annual stock return forecasts are 11% higher for anomaly-shorts than for anomaly-longs. Anomaly-shorts' return forecasts are excessively...

After the completion of an M&A transaction, the target firm is delisted but some analysts who covered it retain coverage of the merged firm. We hypothesize that this decision is based on two factors — the analyst's ability to cover the merged firm and his or her assessment of the M&A deal....