Abstract
We examine whether highly reputed sell-side analysts (Stars) account for stock market seasonality in their forecasts. Extensive research has documented that seasonality exists in the stock market, and in their quest to become Stars, analysts may consider seasonality when they issue recommendations. We find that both Star and Non-Star analysts are highly optimistic in May, which contradicts the adage “Sell in May and go away”. Detailed analyses reveal that optimism cycles are related to the calendar of companies’ earnings announcements rather than market-specific effects. When they issue recommendations, analysts tend not to consider three well-known seasonal effects that we investigate.