Disagreement, Underreaction, and Stock Returns

被引：32
|
作者：
Cen, Ling [1 ,3 ]
Wei, K. C. John [2 ]
Yang, Liyan [3 ,4 ]
机构：
[1] Univ Toronto, Dept Management, Scarborough, ON M1C 1A4, Canada
[2] Hong Kong Polytech Univ, Fac Business, Sch Accounting & Finance, Kowloon, Hong Kong, Peoples R China
[3] Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada
[4] Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China
来源：
MANAGEMENT SCIENCE | 2017年 / 63卷 / 04期
关键词：
disagreement; short-sale constraints; underreaction; cross section of stock returns; EPS FORECAST ERROR; CROSS-SECTION; SCALE IMPLICATIONS; SHORT-SALES; MARKET; INFORMATION; EARNINGS; OPINION; ANALYST; DISPERSION;
D O I：
10.1287/mnsc.2015.2405
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
We explore analysts' earnings forecast data to improve on one popular disagreement measure-the analyst forecast dispersion measure-proposed by Diether et al. [Diether KB, Malloy CJ, Scherbina A (2002) Differences of opinion and the cross section of stock returns. J. Finance 57: 2113-2141]. 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.
引用
收藏
页码：1214 / 1231
页数：18
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