| 简介： | We develop a novel measure that captures the market reaction to analysts’ target price releases. It has a strong negative cross-sectional predictability of future returns: when it implies future price appreciation, the price falls. The long-short strategy induced from the measure is highly profitable (1.12% the next month and 15.25% over a year) and possesses favorable features: the profit is higher among large and liquid firms, mostly from the long-leg, and long-lasting. Empirical evidence suggests that the market reaction to target prices are primarily a discount-rate shock, and the profit results from the consequent mean-reversion. |