کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5100344 | 1377214 | 2016 | 17 صفحه PDF | دانلود رایگان |
- There is a positive relation between time-series forecast dispersion and stock returns.
- We find that time-series forecast dispersion contains systematic risk components.
- Those risk components are priced in stock returns.
- Our results are different from the previous negative relation.
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.
Journal: Journal of Empirical Finance - Volume 39, Part A, December 2016, Pages 37-53