Journal of Empirical Finance · VOLUME 29 · DECEMBER 2014

多國股票回報中的預測差異異象

作者：Markus Leippold (University of Zurich, Department of Banking and Finance), Harald Lohre (Deka Investment GmbH, Quantitative Products)

摘要：本文發現分析師盈利預測分歧較大的股票不僅在美國表現較差，在歐洲一些國家也是同樣。通過對1990到2008年間基于分析師預測差異的投資策略産生的超額回報進行分析，作者發現策略回報在年度間分布很不平均，大量的超額回報産生在20世紀90年代的中後期和2000年到2003年之間；同時作者還發現在科技泡沫破裂的很短的時間區間内策略的收益最大。因此作者得出了基于分析師預測差異的投資策略在實際中并不容易實現的結論，尤其是在定價誤差最大的股票往往套利成本最大的情況下。

關鍵詞：多國股票盈利預測差異現象、信息不确定性、流動性

The dispersion effect in international stock returns

Markus Leippold (University of Zurich, Department of Banking and Finance), Harald Lohre (Deka Investment GmbH, Quantitative Products)

ABSTRACT

We find that stocks exhibiting high dispersion in analysts' earnings forecasts not only underperform in the U.S. but also in some European countries. Investigating the abnormal returns generated by the dispersion strategy around the world for the 1990–2008 sample period, we observe that the returns of the strategy are uneven, with large abnormal returns realized during the mid-to-late 1990s and the 2000–2003 period. In particular, we document that the dispersion effect is most profitable in a very narrow time frame around the burst of the technology bubble. As a consequence, the dispersion hedge strategy would have been rather difficult to implement, especially given that the highest mispricing obtains for stocks characterized by high arbitrage costs.

Keywords: International dispersion effect; Information uncertainty; Liquidity

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0927539814000826

翻譯：殷曼琳