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.
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