We document that stocks that have optimistic (pessimistic) consensus recommendations and are currently held by many short-term institutions exhibit large stock-return reversals: Their large past outperformance (underperformance) is followed by large negative (positive) future alphas. The predictable return reversals originate from overreaction to past recommendation releases and the correction of these overreactions around future releases. Results are stronger when earnings news is released and at firms with higher fundamental uncertainty. Further, firms with more short-term institutions show stronger announcement returns and price drift after recommendation changes. Our results are consistent with models of higher order beliefs where short-term institutions coordinate trading around public signals.

中文翻译：

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短期制度、分析师建议和错误定价：高阶信念的作用

我们记录了具有乐观（悲观）共识建议且目前由许多短期机构持有的股票表现出巨大的股票回报逆转：它们过去的巨大表现（表现不佳）之后是巨大的负面（正面）未来阿尔法值。可预测的回报逆转源于对过去推荐版本的过度反应以及围绕未来版本对这些过度反应的纠正。当发布盈利消息时，以及基本面不确定性较高的公司，结果会更加强劲。此外，具有更多短期机构的公司在建议更改后表现出更强的公告回报和价格漂移。我们的结果与短期机构围绕公共信号协调交易的高阶信念模型一致。