In this research, the authors consider a well-known behavioral bias of financial market participants, the anchoring and adjustment bias described by Tversky and Kahneman (1974). Empirical findings have shown that this heuristic has significant economic consequences for the efficiency of the financial market of Vietnam. Specifically, the authors investigate the existence of anchoring and adjustment bias when stock analysts forecast future earnings of a firm by examining 661 analysts' reports forecasting prices in Vietnam from 2009-2012. In addition, the study find that anchoring and adjustment bias appears to have considerable influence over both male and female analysts. With the multi-variable regression model, the authors find out the effects of anchoring and adjustment bias on different group of analysts, as well as the time horizon.