ABSTRACT I use a novel decomposition to estimate information and bias components from the returns implied by analyst price targets and provide evidence that prices simultaneously under-react to information and over-react to bias. Price reactions to information are permanent, and prices drift in the direction of their initial reaction for up to 12 months. Price reactions to bias are transitory, and prices reverse their initial reaction after about three months. Price reactions are relatively efficient. Approximately 85 percent of the total price reaction to information occurs during price target announcement months. Market participants are able to mostly (but not fully) debias analyst-expected returns before incorporating them into prices, with the announcement-month reaction to bias being relatively weak at about 15 percent of its reaction to information. A trading strategy analysis implies that mispricing induced by bias is only about one-third of that implied by prior research. JEL Classifications: G12; G14; G40.

中文翻译：

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股价对分析师预期回报信息和偏差的反应


摘要我使用一种新颖的分解方法来根据分析师价格目标隐含的回报来估计信息和偏差成分，并提供价格同时对信息反应不足和对偏差反应过度的证据。价格对信息的反应是永久性的，并且价格会朝着最初反应的方向漂移长达 12 个月。价格对偏差的反应是短暂的，大约三个月后价格就会逆转其最初的反应。价格反应相对有效。大约 85% 的信息总价格反应发生在价格目标公布月份。市场参与者能够在将分析师预期回报纳入价格之前，大部分（但不是完全）消除偏差，公告月对偏差的反应相对较弱，约为其对信息反应的 15%。交易策略分析表明，由偏差引起的错误定价仅为先前研究所暗示的错误定价的三分之一左右。 JEL 分类：G12； G14； G40。