원문정보
초록
영어
Previous researches focus on examining only the relation between cross-sectional earnings forecast dispersion and stock returns and on providing explanations for the negative dispersionreturn relation. This paper attempts to examine not only the relation between time-series forecast dispersion and stock returns, but also whether time-series and cross-sectional forecast dispersions contain systematic risk components, and whether such risk is priced in stock returns. We find that there is a strong positive relation between time-series forecast dispersion and stock returns. We also find that time-series forecast dispersion apparently contains systematic risk components and that such risk is priced in stock returns, while cross-sectional dispersion does not. In other words, dispersion in analysts' forecasts is informative intertemporally in terms of pricing ability but not cross-sectionally.
목차
1. Introduction
2. Data and Methodology
2.1. Computing Cross-Sectional and Time-Series Forecast Dispersions
2.2. Summary Statistics of Dispersion in Analysts’ Earnings Forecasts
3. Portfolios Sorted by Dispersion in Analysts' Forecasts
3.1. Firm Characteristics of Dispersion-Sorted Portfolios
3.2. Relationship Between Analysts' Forecast Dispersion and Stock Returns
4. Tests of Whether Forecast Dispersion Contains Systematic Risk Components
4.1. Forecast Dispersion, Earnings Surprise, and Stock Returns
4.2. Dispersion-Return Relations After Controlling for Some Systematic Risk Components
4.3. Dispersion–Return Relations After Applying for the Risk Factor Models
4.4. Forecast Dispersion-Related Returns and the Macroeconomy
4.5. Predicted Payoffs by Macroeconomic Conditions Across Dispersions
4.6. Cross-Sectional Regression Tests with Dispersion-Related Factor Loadings
5. Conclusions
References
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