Understanding the Determinants of Analyst Target Price Implied Returns

We are very grateful for the comments from Mark Bradshaw and three anonymous referees. We also appreciate the helpful comments from Joy Begley, Sandra Chamberlain, Paul Healy, Roby Lehavy, Russell Lundholm, Partha Mohanram, Richard Sloan, K. R. Subramanyam, Christine Gleason (discussant at the AAA meetings), and Pawel Bilinski (discussant at the Cambridge Endowment for Research in Finance [CERF] Symposium). We thank workshop participants for comments at The University of British Columbia, University of California, Berkeley, The Hong Kong University of Science and Technology, University of Michigan, the 2013 American Accounting Association Meeting, the 2013 Association of Accounting and Finance of Australia and New Zealand Annual Conference, the 2014 Macquarie Global Quantitative Research Conference, and the 2015 Cambridge University (CERF) Symposium. We thank Ventsi Stamenov and Terrence Shi for research assistance.

This paper was formerly titled “Separating the Wheat from the Chaff: Identifying the Signal and Predictable Error Components of Target Price Forecasts.”

Patricia M. Dechow, University of Southern California, Marshall School of Business, Department of Accounting, Los Angeles, CA, USA; Haifeng You, The Hong Kong University of Science and Technology, Department of Accounting, Kowloon, Hong Kong SAR, China.

Editor's note: Accepted by Mark T. Bradshaw, under the Senior Editorship of Mark L. DeFond.