Disagreement, Underreaction, and Stock Returns

被引：0

作者：

Cen L. ^{[1
]}

Wei K.C.J. ^{[2
]}

Yang L. ^{[1
]}

机构：

[1] Cen, Ling

[2] Wei, K.C. John

[3] Yang, Liyan

来源：

Wei, K.C. John (johnwei@ust.hk) | 1600年 / INFORMS Inst.for Operations Res.and the Management Sciences卷 / 63期

关键词：

Cross-section of stock returns; Disagreement; Short-sale constraints; Underreaction;

D O I：

10.2139/ssrn.2174598

中图分类号：

学科分类号：

摘要：

We explore analysts' earnings forecast data to improve upon one popular disagreement measure- the analyst forecast dispersion measure-proposed by Diether, Malloy, and Scherbina (2002). Our analysis suggests that changes in the standard deviations of forecasted earnings can work as a complementary disagreement measure that is comparable across stocks and immune from other return-predictive information contained in the normalization scalars of analyst forecast dispersion measures. We also document evidence that the change-based disagreement measure predicts future cross-sectional returns significantly only when changes in the mean forecasts are negative. This finding suggests that the interaction between disagreement and underreaction to earnings news affects asset prices. © 2017 INFORMS Inst.for Operations Res.and the Management Sciences. All rights reserved.

引用

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