Journal of Empirical Finance 39 (2016.12)

分析師預測差異程度異象再檢驗：時間序列分析師預測差異程度與股票橫截面回報之間的關系

作者：Dongcheol Kima (Korea University Business School), Haejung Nab (Department of Finance and Law, College of Business and Economics, California State University)

摘要：前人的研究使用分析師收益預測差異的橫截面數據得出了預測差異程度和未來股票回報之間存在負向關系。與前人研究不同，本文發現了使用分析師收益預測差異的時間序列數據可以得出預測差異程度和未來股票回報之間呈很強的正向關系。同時本文也發現了時間序列的分析師預測差異程度中包含了可以用來對股票回報進行定價的系統性風險成分。

關鍵詞：分析師收益預測、時間序列預測差異、橫截面預測差異、系統性風險成分

The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns

Dongcheol Kima (Korea University Business School), Haejung Nab (Department of Finance and Law, College of Business and Economics, California State University)

ABSTRACT

Previous studies use cross-sectional forecast dispersion in examining the relation between forecast dispersion and future stock returns and report an anomalous negative dispersion-return relation. This paper examines how time-series forecast dispersion is distinct in the relation to stock returns from the negative dispersion-return relation. We find that contrary to the previously-known negative dispersion-return relation, there is a strong positive relation between time-series forecast dispersion and stock returns. We also find that time-series forecast dispersion apparently contains systematic risk components and that such risk is priced in stock returns.

Keywords: Analysts' earnings forecasts; Time-series forecast dispersion; Cross-sectional forecast dispersion; Systematic risk components

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0927539816301153

翻譯：殷曼琳