Methods and Data

The empirical strategy consists in a series of steps.  First, we plan to collect target price data from analysts of Brendan E. Cryan & Co., Citadel Securities LLC, GTS Securities LLC, IMC Financial Markets, and Virtu Financial Capital Markets LLC, which are market makers in New York Stock Exchange (NYSE).  Then I will investigate the first interpretation of Lucas model by testing for causality in the sense of \citet{Granger_1969} between those series.