What explains the dispersion effect? Evidence from institutional ownership

被引：0
|
作者：
Hwang, Chuan-Yang [1 ]
Wong, Kit Pong [2 ]
Yi, Long [3 ]
机构：
[1] Nanyang Technol Univ, Nanyang Business Sch, Singapore, Singapore
[2] Univ Hong Kong, Sch Econ & Finance, Hong Kong, Peoples R China
[3] Hong Kong Baptist Univ, Finance & Decis Sci, Hong Kong, Peoples R China
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2022年 / 72卷
关键词：
Dispersion effect; Analyst incentives; Short-sale constraint; Institutional ownership; Endogeneity;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper conducts a joint test of two plausible explanations (difference-in-opinion vs. analyst self-censoring) for why stocks with higher dispersion in analysts' earnings forecasts earn lower subsequent returns (the dispersion effect). We exploit exogenous variations in institutional ownership generated by the annual index reconstitution to address the endogeneity concern of institutional ownership. We find results strongly suggest that analyst self-censoring rather than the more popular difference-in-opinion story is the more plausible explanation for the dispersion effect, at least in a sample where the endogeneity bias of institutional ownership is minimized.
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页数：19
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