The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Dongcheol | - |
dc.contributor.author | Na, Haejung | - |
dc.date.accessioned | 2021-09-03T16:08:16Z | - |
dc.date.available | 2021-09-03T16:08:16Z | - |
dc.date.created | 2021-06-16 | - |
dc.date.issued | 2016-12 | - |
dc.identifier.issn | 0927-5398 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/86625 | - |
dc.description.abstract | Previous studies use cross-sectional forecast dispersion in examining the relation between forecast dispersion and future stock returns and report an anomalous negative dispersion-return relation. This paper examines how time-series forecast dispersion is distinct in the relation to stock returns from the negative dispersion-return relation. We find that contrary to the previously-known negative dispersion-return relation, 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. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | EARNINGS-ANNOUNCEMENT DRIFT | - |
dc.subject | EXPECTED RETURNS | - |
dc.subject | RISK-FACTORS | - |
dc.subject | MOMENTUM | - |
dc.subject | MODELS | - |
dc.subject | MARKET | - |
dc.title | The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Dongcheol | - |
dc.identifier.doi | 10.1016/j.jempfin.2016.09.003 | - |
dc.identifier.scopusid | 2-s2.0-84993949500 | - |
dc.identifier.wosid | 000391080500003 | - |
dc.identifier.bibliographicCitation | JOURNAL OF EMPIRICAL FINANCE, v.39, pp.37 - 53 | - |
dc.relation.isPartOf | JOURNAL OF EMPIRICAL FINANCE | - |
dc.citation.title | JOURNAL OF EMPIRICAL FINANCE | - |
dc.citation.volume | 39 | - |
dc.citation.startPage | 37 | - |
dc.citation.endPage | 53 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | EARNINGS-ANNOUNCEMENT DRIFT | - |
dc.subject.keywordPlus | EXPECTED RETURNS | - |
dc.subject.keywordPlus | RISK-FACTORS | - |
dc.subject.keywordPlus | MOMENTUM | - |
dc.subject.keywordPlus | MODELS | - |
dc.subject.keywordPlus | MARKET | - |
dc.subject.keywordAuthor | Time-series forecast dispersion | - |
dc.subject.keywordAuthor | Cross-sectional forecast dispersion | - |
dc.subject.keywordAuthor | Analysts&apos | - |
dc.subject.keywordAuthor | earnings forecasts | - |
dc.subject.keywordAuthor | Systematic risk components | - |
dc.subject.keywordAuthor | Idiosyncratic volatility | - |
dc.subject.keywordAuthor | Macroeconomic conditions | - |
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