Analysts Forecast Dispersion And Stock Market Anomalies
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Analysts Forecast Dispersion And Stock Market Anomalies
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Author : Tingting Liu
language : en
Publisher:
Release Date : 2020
Analysts Forecast Dispersion And Stock Market Anomalies written by Tingting Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
We show that understanding the role of analysts' forecast bias is central to discovering the behavior that causes some stocks to have high analyst forecast dispersion. This finding is important because stocks with high analyst forecast dispersion contribute significantly to many important anomalies. We first explain how forecast bias produces significant negative future returns in the high dispersion portfolio. Next we examine the effect of these stocks on momentum returns, the profitability anomaly, and post-earnings announcement drift. Finally, we examine the performance of four asset pricing models focusing on the model's ability to explain the returns to these high dispersion stocks.
Stock Market Anomalies
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Author : Elroy Dimson
language : en
Publisher: CUP Archive
Release Date : 1988-03-17
Stock Market Anomalies written by Elroy Dimson and has been published by CUP Archive this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-03-17 with Business & Economics categories.
Analysts Forecast Dispersion And Stock Split Announcements
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Author : Maria Chiara Iannino
language : en
Publisher:
Release Date : 2016
Analysts Forecast Dispersion And Stock Split Announcements written by Maria Chiara Iannino and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper is an empirical investigation of the relation between the dispersion on analysts' earnings forecasts and the future performance following a change in the nominal price of shares. On a sample of US splits occurred from 1993 to 2013, we observe a change in the distribution of analysts' forecasts after the announcement of the event. In particular, we observe an increase in forecasts' dispersion. We distinguish the two components of private and common information, and we find that asymmetric information significantly increases after the announcement of stock splits, while no change is evinced in uncertainty. While we do not observe any relationship between dispersion and future returns in our sample of stocks, we shed light on the literature on disagreement observing a negative relation between asymmetric information and both future returns and cumulative abnormal returns post-split. We conclude observing that stock splits have a stronger positive effect on future performance for shares with lower prior asymmetric information.
Analyst Forecast Dispersion And Future Stock Return Volatility
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Author : Madhu Kalimipalli
language : en
Publisher:
Release Date : 2006
Analyst Forecast Dispersion And Future Stock Return Volatility written by Madhu Kalimipalli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
In this paper, we examine the relationship between analysts' forecast dispersion and future stock return volatility using monthly data for a cross section of 160 US firms from 1981 to 1996. We find that there is a strong and positive relationship between analysts' forecast dispersion and future return volatility. The dispersion measure has incremental information content even after accounting for market volatility. These results are robust across sub-sample periods and sub-samples based on based on number of analysts following a firm, forecast dispersion and market capitalization. There is also a strong seasonal relationship between the dispersion measure and future volatility. The importance of dispersion on future return volatility is high in January and the first few months of the year, and declines thereafter. Such information content of analysts' earnings forecast dispersion is of great importance for active portfolio management, option pricing and arbitrage trading strategies.
The Relation Between Dispersion In Analysts Forecasts And Stock Returns
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Author : Shuping Chen
language : en
Publisher:
Release Date : 2016
The Relation Between Dispersion In Analysts Forecasts And Stock Returns written by Shuping Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper investigates the conclusion in Diether, Malloy, and Scherbina (2002) that dispersion in analysts' forecasts proxies for differences in investor beliefs, and that prices reflect the beliefs of optimistic investors when dispersion is high. If this is the case, we expect to find higher earnings response coefficients (ERCs), related to negative earnings surprises, for high versus low dispersion firms. This follows because the negative earnings surprises are less consistent with the beliefs of optimists. However, we find smaller ERCs, which calls into question the optimism argument in DMS. Further, we find that the relatively low future returns earned by high forecast dispersion firms, documented in DMS, are explained by the well known post-earnings-announcement drift phenomena. Specifically, after sorting observations based on prior period standardized unexpected earnings (SUEs), which are associated with drift, the difference between the future returns of high versus low dispersion firms is not statistically significant.
The Effect Of Dispersion Of Analysts Forecasts On Stock And Bond Prices
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Author : Mun Soo Choi
language : en
Publisher:
Release Date : 1993
The Effect Of Dispersion Of Analysts Forecasts On Stock And Bond Prices written by Mun Soo Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Financial Analysts Earnings Forecast Dispersion And Intraday Stock Price Variability Around Quarterly Earnings Announcements
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Author : Gerald J. Lobo
language : en
Publisher:
Release Date : 2017
Financial Analysts Earnings Forecast Dispersion And Intraday Stock Price Variability Around Quarterly Earnings Announcements written by Gerald J. Lobo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This study investigates the relationship between the dispersion of analysts' earnings forecasts and stock price variability around quarterly earnings announcements. Consistent with theoretical predictions, the empirical analysis shows that stock price variability at the time of earnings announcements is positively related to the degree of analysts' earnings forecast dispersion. The analysis also demonstrates that stock price variability is significantly greater from two days before to two days after the earnings announcement for firms ranked in the bottom third on the basis of analysts' forecast dispersion, whereas it is significantly greater from eight days prior to five days following the earnings announcement for firms in the top third. These results suggest that there is information about the earnings announcement that becomes available to at least a subset of investors prior to the earnings release. The increased level of price variability for five days following the earnings announcement suggests that market participants take different amounts of time to process the information conveyed by the earnings announcement.
Financial Analysts Earnings Forecast Dispersion And Intraday Stock Price Variability Around Quarterly Earnings Announcements
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Author : Samuel S. Tung
language : en
Publisher:
Release Date : 2020
Financial Analysts Earnings Forecast Dispersion And Intraday Stock Price Variability Around Quarterly Earnings Announcements written by Samuel S. Tung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
This study investigates the relationship between the dispersion of analysts? earnings forecasts and stock price variability around quarterly earnings announcements. Consistent with theoretical predictions, the empirical analysis shows that stock price variability at the time of earnings announcements is positively related to the degree of analysts? earnings forecast dispersion. The analysis also demonstrates that stock price variability is significantly greater from two days before to two days after the earnings announcement for firms ranked in the bottom third on the basis of analysts? forecast dispersion, whereas it is significantly greater from eight days prior to five days following the earnings announcement for firms in the top third. These results suggest that there is information about the earnings announcement that becomes available to at least a subset of investors prior to the earnings release. The increased level of price variability for five days following the earnings announcement suggests that market participants take different amounts of time to process the information conveyed by the earnings announcement.
Dispersion In Analysts Forecasts
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Author : Davit Adut
language : en
Publisher:
Release Date : 2003
Dispersion In Analysts Forecasts written by Davit Adut and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Financial analysts are an important group of information intermediaries in the capital markets. Their reports, including both earnings forecasts and stock recommendations, are widely transmitted and have a significant impact on stock prices (Womack 1996; Lys and Sohn 1990, among others). Empirical accounting research frequently relies on analysts' forecasts to construct proxies for variables of interest. For example, the error in mean forecast is used as a proxy for earnings surprise (e.g., Brown et al. 1987; Wiedman 1996; Bamber et al. 1997). More recent papers provide evidence that the mean consensus forecast is used as a benchmark for evaluating firm performance. (Degeorge et al. 1999; Kasznik and McNichols 2002; Lopez and Rees 2002). Another stream of research uses the forecast dispersion as a proxy for the uncertainty or the degree of consensus among analysts and focuses on the information properties of analysts (e.g., Daley et al. 1988; Ziebart 1990; Imhoff and Lobo 1992; Lang and Lundholm 1996; Barron and Stuerke 1998; Barron et al. 1998). In this paper I combine the two streams of research, and investigate how lack of consensus changes the information environment of analysts and whether the markets perceive this change. More specifically, I investigate the amount of private information in a divergent earnings estimate (i.e. one that is above or below the consensus), whether the markets react to it at either the time of the forecast release, at the realization of actual earnings, and whether Regulation Fair Disclosure has changed the information environment differently for high and low dispersion firms.
Analyst Forecast Accuracy Dispersion And Stock Returns Before And During Stock Market Crashes
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Author : Xiaolei Wang
language : en
Publisher:
Release Date : 2008
Analyst Forecast Accuracy Dispersion And Stock Returns Before And During Stock Market Crashes written by Xiaolei Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Stock Market Bubble, 1995-2000 categories.