Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

Quantitative research analysts (Quants) produce in-depth quantitative and econometric modeling of market anomalies to assist sell-side analysts and institutional clients with stock selection strategies. Quants are associated with more efficient analyst forecasting behavior on anomaly predictors...

This paper studies the eff ect of market belief risk on the cross-section of stock returns. Using actual and analyst EPS forecast data, we construct the market belief as the cross-sectional average of individual beliefs for all sample stocks, with individual belief de fined as the mean analyst...

This study attempts to test the performance persistence hypothesis for Commodity Trading Advisors (CTAs) considering the impact of incubation and backfill bias. From the empirical test using Fama-MacBeth regression and quintile analysis, we suggest a robust result that ranking CTAs using the...

This study takes a novel approach to testing the efficacy of technical analysis. Rather than testing specific trading rules as is typically done in the literature, we rely on institutional portfolio managers' statements about whether and how intensely they use technical analysis, irrespective of...

Consensus analyst target prices are widely available online at no cost to investors. In this paper we consider whether these consensus target prices are informative for predicting future returns. We find that when considered in isolation, consensus target prices are not generally informative...

We examine the effects of social interaction among equity analysts on the transmission of geographic-specific information and the quality of analysts' forecasts. We focus on interactions among local peers, defined as analysts who work in the same brokerage office (officemates) who cover...

This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human...

This study collects and examines a comprehensive sample of written analyst reports for worldwide equity funds. I investigate two features related to the Berk and Green (2004) model: investor sophistication and decreasing returns to scale. First, I find that the tone in analyst reports drives...

Following the Global Settlement, analysts extensively use a top pick designation to highlight their highest conviction best ideas. Such a designation enables analysts to provide greater granularity of information, but it can potentially be influenced by conflicts of interest. Examining a...