Len Costa, of the CFA Institute, has an interesting piece related to a paper I've written with some colleagues at Rice and Creighton.

Here is a picture of the 'bottomline':

[caption id="" align="aligncenter" width="482"] The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.[/caption]

Long ideas experience a short term spike of around 1% and then drift; short ideas shift down ~2% and then flatline. Overall conclusion: analyst reports matter to the market.

For the full study, head over to SSRN: