The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Terence Tai-Leung Chong, Xiaolei Wang

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill this void by estimating a Fama-French model regression with AFD as a factor. Instead of an expected linear relationship, a nonlinear U-shape relationship between the AFD and excess returns is found.

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Year of publication:	December 2009
Authors:	Chong, Terence Tai-Leung ; Wang, Xiaolei
Published in:	Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 2.2009, 1, p. 75-93
Subject:	Analyst forecast dispersion \| Stock market crash \| Fama-French three-factor model \| Finanzkrise \| Financial crisis \| Finanzanalyse \| Financial analysis \| Aktienmarkt \| Stock market \| Börsenkurs \| Share price \| Prognoseverfahren \| Forecasting model \| Kapitaleinkommen \| Capital income \| Prognose \| Forecast \| Anlageberatung \| Financial advisors \| Volatilität \| Volatility \| Theorie \| Theory

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/jrfm2010075 [DOI] hdl:10419/178520 [Handle]
Classification:	D82 - Asymmetric and Private Information ; G14 - Information and Market Efficiency; Event Studies ; M41 - Accounting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011556115