The effect of price magnitude on analysts' forecasts: evidence from the lab

Tristan Roger (), Wael Bousselmi, Patrick Roger and Marc Willinger
Additional contact information
Tristan Roger: DRM-Finance - DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Wael Bousselmi: CREST - Centre de Recherche en Economie et Statistique [Bruz] - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz]

Post-Print from HAL

Abstract: Recent research in finance shows that the magnitude of stock prices influences analysts' price forecasts (Roger et al., 2018). In this paper, we report the results o fa novel experiment where some of the participants in a continuous double auction market act as analysts and forecast future prices. Participants engage in two successive markets: one in which the fundamental value is a small price and one in which the fundamental value is a large price. Our results indicate that analysts' forecasts are more optimistic in small price markets compared to large price markets. We also find that analysts strongly anchor on past price trends when building their price forecasts. Overall, our findings support the existence of a small price bias.

Date: 2021
References: Add references at CitEc
Citations:

Published in Revue Economique, 2021, 72 (5), pp.843-870

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: The effect of price magnitude on analysts' forecasts: evidence from the lab (2018)
Working Paper: The effect of price magnitude on analysts' forecasts: evidence from the lab (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03026577

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().