propose a new measure of earnings forecast uncertainty as the sum of dispersion among analysts and the variance of mean … forecast errors estimated by a GARCH model. The new measure is based on both common and private information available to … forecast uncertainty in the literature. Using analysts' earnings forecasts, we find direct evidence of the new measure …

respective forecast accuracy and test whether the forecasted information are relevant to equity or debt markets. The results, in … terms of forecast accuracy in firm-level tests. This study finds that the opposing performance outcome appears to be driven …

empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock …

forecast volatility …

Previous studies use cross-sectional forecast dispersion in examining the relation between forecast dispersion and …-series forecast dispersion is distinct in the relation to stock returns from the negative dispersion-return relation. We find that …-series forecast dispersion and stock returns. We also find that time-series forecast dispersion apparently contains systematic risk …

This paper investigates the relationships among cross-sectional stock returns and analysts' forecast revisions …, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22 …-2015 periods. Revision up and revision down betas account for most of the momentum strategy and over half of forecast dispersion …