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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 how time-series mean forecast dispersion is distinct in the relation to stock returns from the cross-sectional forecast dispersion effect. We find that contrary to the standard analyst dispersion effect, there is a strong positive relation between time-series mean forecast dispersion and stock returns. We also find that time-series mean forecast dispersion apparently contains systematic risk components and that such risk is priced in stock returns.
목차
Abstract
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
Table
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
Table
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