The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes

Journal of Risk and Financial Management

Terence Tai-Leung Chong¹ 

[1] Department of Economics, The Chinese University of Hong Kong

关键词: Analyst forecast dispersion;    Stock market crash;    Fama-French three- factor model;   

DOI  :  10.3390/jrfm2010075

来源: mdpi

【 摘 要 】

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.

【 授权许可】

CC BY   
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