Expected Results and Main Hypothesis
The main hypothesis we have in the first interpretation of the model is that target prices Granger cause actual prices. In terms of the second interpretation, we expect we have no statistical difference between parameters of basic pricing equations and parameters estimated in second interpretation. Also, we expect to find uninformed traders are more risk averse, their forecasts are more volatile.
Conclusion
This project presented a research intended to evaluate the impact of analyst's forecasts on expected stock returns in a dynamic setting where we can investigate also how risk aversion might influence on it. To the best of my knowledge this problem hasn't been dealt yet and this contribution fill the gap hardly emphasized by \citet*{Kothari_2016} as a weak point in the literature.
An additional contribution is the comparison between economies with informed and uninformed agents to evaluate the importance of analysts’ forecast in mitigating risk aversion and making agents more cautious about the future.