Journal of Empirical Finance 39 (2016.12)

分析师预测差异程度异象再检验：时间序列分析师预测差异程度与股票横截面回报之间的关系

作者：Dongcheol Kima (Korea University Business School), Haejung Nab (Department of Finance and Law, College of Business and Economics, California State University)

摘要：前人的研究使用分析师收益预测差异的横截面数据得出了预测差异程度和未来股票回报之间存在负向关系。与前人研究不同，本文发现了使用分析师收益预测差异的时间序列数据可以得出预测差异程度和未来股票回报之间呈很强的正向关系。同时本文也发现了时间序列的分析师预测差异程度中包含了可以用来对股票回报进行定价的系统性风险成分🤘🏽。

关键词🏊🏼：分析师收益预测、时间序列预测差异、横截面预测差异🏂、系统性风险成分

The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns

Dongcheol Kima (Korea University Business School), Haejung Nab (Department of Finance and Law, College of Business and Economics, California State University)

ABSTRACT

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.

Keywords: Analysts' earnings forecasts; Time-series forecast dispersion; Cross-sectional forecast dispersion; Systematic risk components

原文链接：

http://www.sciencedirect.com/science/article/pii/S0927539816301153

翻译：殷曼琳