The seasonality in sell-side analysts’ recommendations
2017 (English)Article in journal (Refereed) Submitted
In this paper, we examine whether highly reputed sell-side analysts (stars) account for seasonality in their forecasts. We find that both star and non-star analysts are highly optimistic in May, which contradicts the adage “Sell in May and go away”. Detailed analyses reveal that optimism cycles are related to the calendar of companies’ earnings announcements rather than to market-specific effects. We show this by measuring the differences in seasonality patterns in expected returns on target prices by star and non-star sell-side analysts. Although the market returns in our sample period, 2003-2014, do not show any statistically significant patterns in the three investigated seasonal effects, our results show that Non-Stars issue more optimistic target prices than Stars.
Place, publisher, year, edition, pages
Seasonality in stock prices, Target prices, Sell-side analyst recommendations, Star analysts
Research subject Industrial Engineering and Management
IdentifiersURN: urn:nbn:se:kth:diva-205281OAI: oai:DiVA.org:kth-205281DiVA: diva2:1088233
QC 201704122017-04-112017-04-112017-04-20Bibliographically approved