The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns
- Authors
- Kim, Dongcheol; Na, Haejung
- Issue Date
- 12월-2016
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- Time-series forecast dispersion; Cross-sectional forecast dispersion; Analysts' earnings forecasts; Systematic risk components; Idiosyncratic volatility; Macroeconomic conditions
- Citation
- JOURNAL OF EMPIRICAL FINANCE, v.39, pp.37 - 53
- Indexed
- SSCI
SCOPUS
- Journal Title
- JOURNAL OF EMPIRICAL FINANCE
- Volume
- 39
- Start Page
- 37
- End Page
- 53
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/86625
- DOI
- 10.1016/j.jempfin.2016.09.003
- ISSN
- 0927-5398
- 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.
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Collections - Korea University Business School > Department of Business Administration > 1. Journal Articles
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