Differences of Opinion And The Cross Section of Stock Returns  

Oleh:

Scherbina, Anna ; Malloy, Christopher J. ; Diether, Karl B.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 5 (2002), page 2113-2142.
Topik: stock returns; studies; rates of return; securities analysis; earnings forecasting; proxies; portfolio management
Fulltext: p 2113.pdf (169.04KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We provide evidence that stocks with higher dispersion in analysts' earnings forecasts earn lower future returns than otherwise similar stocks. This effect is most pronounced in small stocks and stocks that have performed poorly over the past year. Interpreting dispersion in analysts' forecasts as a proxy for differences in opinion about a stock, this evidence is consistent with the hypothesis that prices will reflect the optimistic view whenever investors with the lowest valuations do not trade. By contrast, the evidence is inconsistent with a view that dispersion in analysts' forecasts proxies for risk.

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