Stock Return Predictability and the Dispersion in Earnings Forecasts

Cheolbeom Park

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Stock Return Predictability and the Dispersion in Earnings Forecasts

机译：股票收益的可预测性和收益预测的离散度

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Using monthly data for earnings forecasts by market analysts, this paper shows that the dispersion in forecasts has particularly strong predictive power for future aggregate stock returns at intermediate horizons. The results are robust (1) regardless of whether Newey-West or Hodrick corrected t-statistics are used, (2) when other forecasting or macroeconomic variables are included, (3) when different scaling variables are used for the dispersion measure, and (4) after correcting for finite sample biases. Furthermore, additional results suggest that the dispersion in analysts' forecasts can be interpreted as a measure of the differences in investors' expectations rather than the risk.

机译：使用市场分析师的月度数据进行收益预测，本文显示，预测的分散性对中间水平的未来总股票收益具有特别强的预测能力。结果是可靠的（1）不管是否使用Newey-West或Hodrick校正的t统计量;（2）当包括其他预测或宏观经济变量时;（3）当对离散度度量使用不同的比例变量时;以及（ 4）校正有限的样本偏差后。此外，其他结果表明，分析师预测中的差异可以解释为衡量投资者期望差异的一种指标，而不是风险。

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《The Journal of Business》 |2005年第6期|p.2351-2375|共25页
作者
Cheolbeom Park;
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National University of Singapore;

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正文语种 eng
中图分类 f;
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2. Analysts' use of earnings forecasts in predicting stock returns: Forecast horizon effects [J] . Ahmadi M., Baghani A. Management Science Letters . 2015,第6期

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Stock Return Predictability and the Dispersion in Earnings Forecasts

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