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Forecast dispersion and error versus size, book-to-market ratio and momentum: A comparison of anomalies from 1992 to 2001

Author

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  • Stephen J Ciccone

    (University of New Hampshire, Whittemore School of Business and Economics, McConnell Hall)

Abstract

Anomalies based on forecast properties (dispersion and error), size, book-to-market ratio and momentum are evaluated during the period 1992–2001 for a sample of US stocks using an annual buy-and-hold strategy. The forecast property, book-to-market and momentum anomalies all clearly persist during the sample period, while the size anomaly disappears. Although the book-to-market anomaly is the most powerful in magnitude, the forecast property anomalies are the most consistent in year-by-year performance. Combining the forecast property anomalies with either the momentum or book-to-market anomalies results in spectacular return performance. Overall, investors should consider taking advantage of the forecast property anomalies when selecting their stock holdings.

Suggested Citation

  • Stephen J Ciccone, 2003. "Forecast dispersion and error versus size, book-to-market ratio and momentum: A comparison of anomalies from 1992 to 2001," Journal of Asset Management, Palgrave Macmillan, vol. 3(4), pages 333-344, March.
    • Handle: RePEc:pal:assmgt:v:3:y:2003:i:4:d:10.1057_palgrave.jam.2240087
    DOI: 10.1057/palgrave.jam.2240087
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    Cited by:

    1. Jorida Papakroni, 2018. "The dispersion anomaly and analyst recommendations," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 861-896, April.

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