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Further Evidence on the Relation between Analysts' Forecast Dispersion and Stock Returns

Citations

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Cited by:

  1. Xu, Zhiwei & Yang, Yinan & Zhang, Teng, 2026. "Investor disagreement and state-dependent mispricing: New evidence on the analyst dispersion anomaly," Journal of Banking & Finance, Elsevier, vol. 182(C).
  2. Jana Oehmichen & Sebastian Firk & Michael Wolff & Franz Maybuechen, 2021. "Standing out from the crowd: Dedicated institutional investors and strategy uniqueness," Strategic Management Journal, Wiley Blackwell, vol. 42(6), pages 1083-1108, June.
  3. Charles F. Manski, 2018. "Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise," NBER Macroeconomics Annual, University of Chicago Press, vol. 32(1), pages 411-471.
  4. Yang, Mingjing & Cheng, Xiaoke & Sun, Qian & Lu, Chao, 2019. "How does analyst forecast dispersion affect SEO discounts in uniform-price auction system? Evidence from investor bids in China," International Review of Economics & Finance, Elsevier, vol. 63(C), pages 198-208.
  5. Yang, Mo & Dong, Dayong & Xia, Guoen, 2024. "Risk disclosure and stock price crash risk: Evidence from Chinese listed firms," Finance Research Letters, Elsevier, vol. 60(C).
  6. Laakkonen, Helinä, 2015. "Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market," Research Discussion Papers 4/2015, Bank of Finland.
  7. Kim, Soonho & Na, Haejung, 2020. "Earnings information, arbitrage constraints, and the forecast dispersion anomaly," Finance Research Letters, Elsevier, vol. 35(C).
  8. Michael S. O'Doherty, 2012. "On the Conditional Risk and Performance of Financially Distressed Stocks," Management Science, INFORMS, vol. 58(8), pages 1502-1520, August.
  9. Jon A. Garfinkel, 2009. "Measuring Investors' Opinion Divergence," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 47(5), pages 1317-1348, December.
  10. Post, Thomas & Hanewald, Katja, 2013. "Longevity risk, subjective survival expectations, and individual saving behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 86(C), pages 200-220.
  11. Kim, Dongcheol & Na, Haejung, 2016. "The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 37-53.
  12. David Veenman & Patrick Verwijmeren, 2022. "The Earnings Expectations Game and the Dispersion Anomaly," Management Science, INFORMS, vol. 68(4), pages 3129-3149, April.
  13. Xuguang Sheng & Maya Thevenot, 2013. "Differential Interpretation of Public Information: Estimation and Inference," Working Papers 2013-03, American University, Department of Economics.
  14. Sheng, Xuguang (Simon) & Thevenot, Maya, 2015. "Quantifying differential interpretation of public information using financial analysts’ earnings forecasts," International Journal of Forecasting, Elsevier, vol. 31(2), pages 515-530.
  15. Laakkonen, Helinä, 2015. "Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market," Bank of Finland Research Discussion Papers 4/2015, Bank of Finland.
  16. Jie Gao & Yang Feng & Zeshui Xu & Qianlin Luo, 2023. "Analysis of strategic deviance decisions considering investors’ risk aversion and the industrial earnings forecast errors," International Entrepreneurship and Management Journal, Springer, vol. 19(1), pages 379-402, March.
  17. Wang, Xi & Gao, Chao & Wang, Tianfu, 2024. "The price of firm-level information uncertainty," Finance Research Letters, Elsevier, vol. 67(PA).
  18. Shu, Ao & Lian, Ziru & Jiu, Lili & Zhang, Wei & Chen, Fengwen, 2025. "The impact of US experience on financial reporting comparability between Chinese firms and their US industry peers," International Review of Financial Analysis, Elsevier, vol. 107(C).
  19. Orie Barron & Xuguang Sheng & Maya Thevenot, 2013. "Information Environment and The Cost of Capital," Working Papers 2013-003, The George Washington University, The Center for Economic Research.
  20. Lin, Mei-Chen, 2023. "Analyst coverage and the idiosyncratic skewness effect in the Taiwan stock market," International Review of Financial Analysis, Elsevier, vol. 85(C).
  21. Nathan Zhenghang Zhu & Kun Tracy Wang & Mark Wilson, 2022. "The Effect of Conditional Management Earnings Forecast Mandates on Voluntary Disclosure and Analyst Forecast Properties," Abacus, Accounting Foundation, University of Sydney, vol. 58(3), pages 479-522, September.
  22. Jens Günther, 2017. "Capital market effects around dividend announcements: an analysis of the Berlin stock exchange in 1895," Accounting History Review, Taylor & Francis Journals, vol. 27(3), pages 249-278, September.
  23. Long, Rui & Fan, Zhaobin, 2025. "The impact of ESG performance on the perception of economic policy uncertainty: Evidence from China," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 1456-1474.
  24. Thomas J. Lopez & Troy Pollard & Austin Reitenga & Shane Stinson, 2023. "Downsizing decisions: The joint influence of equity incentives and behavioral biases," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 50(9-10), pages 1779-1807, October.
  25. Clement, Michael B. & Hales, Jeffrey & Xue, Yanfeng, 2011. "Understanding analysts' use of stock returns and other analysts' revisions when forecasting earnings," Journal of Accounting and Economics, Elsevier, vol. 51(3), pages 279-299, April.
  26. Bird, Ron & Yeung, Danny, 2012. "How do investors react under uncertainty?," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 310-327.
  27. Chen, Weihua & Mamon, Rogemar & Xiong, Heng & Zeng, Pingping, 2024. "Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  28. Xuguang Sheng & Orie Barron & Maya Thevenot, 2012. "Information Environment and the Cost of Capital: A New Approach," Working Papers 2012-12, American University, Department of Economics.
  29. Shuang Liu & Juan Yao & Stephen Satchell, 2020. "Analyst Forecast Dispersion and Market Return Predictability: Does Conditional Equity Premium Play a Role?," JRFM, MDPI, vol. 13(5), pages 1-21, May.
  30. Sheng, Xiaohan & Yang, Lin, 2025. "From headlines to earnings: Do biodiversity disclosures tighten analyst forecasts?," Finance Research Letters, Elsevier, vol. 85(PD).
  31. Mies, Michael, 2024. "Bank opacity, systemic risk and financial stability," Journal of Financial Stability, Elsevier, vol. 70(C).
  32. Post, Thomas & Hanewald, Katja, 2010. "Stochastic mortality, subjective survival expectations, and individual saving behavior," SFB 649 Discussion Papers 2010-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  33. Jamal A. Al‐Khasawneh & Paul Dion & Naceur Essaddam & Tashfeen Hussain, 2023. "Is the cost of equity a mere function of leverage? The case of bond IPOs," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 58-78, January.
  34. Xu, Yekun & Zhao, Jiayu & Zhong, Ruohan & Zhang, Qiang, 2026. "Bank competition and corporate tax avoidance: the Chinese experience," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 106(C).
  35. Mukesh Garg, 2017. "Value relevance of voluntary internal control certification: An information asymmetry perspective," Australian Journal of Management, Australian School of Business, vol. 42(4), pages 527-559, November.
  36. Chiou-Wei, Song-Zan & Linn, Scott C. & Zhu, Zhen, 2014. "The response of U.S. natural gas futures and spot prices to storage change surprises: Fundamental information and the effect of escalating physical gas production," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 156-173.
  37. Chen, Zhiyu & Xu, Yun & Wang, Yu, 2023. "Can convertible bond trading predict stock returns? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  38. Muhammad Arif & Christopher Gan & Hussein Ahmed Bataineh, 2024. "Global evidence on the association between environmental, social, and governance disclosures and future earnings risk," Business Strategy and the Environment, Wiley Blackwell, vol. 33(3), pages 2497-2517, March.
  39. Jin, Shunyao & Kimbrough, Michael D. & Wang, Isabel Yanyan, 2024. "Privileged information access, analyst consensus building, and stock return volatility: Evidence from the JOBS Act," Advances in accounting, Elsevier, vol. 64(C).
  40. Liyan Han & Xinbei Wei & Sen Yan & Qunzi Zhang, 2022. "Analyst rating matters for index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2084-2100, November.
  41. repec:hum:wpaper:sfb649dp2010-040 is not listed on IDEAS
  42. Luo, Qiling & Xue, Minggao & Xiong, Yeqin & Ge, Xiaowen, 2024. "The backfire of mutual funds balancing financial objectives in ESG investments: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  43. Zhang, Chaolin & Yu, Fangbo, 2024. "Can local fintech development improve analysts’ earnings forecast accuracy? Evidence from China," Finance Research Letters, Elsevier, vol. 63(C).
  44. Li, Leon & Chen, Carl R., 2016. "Analysts' forecast dispersion and stock returns: a panel threshold regression analysis based on conditional limited market participation hypothesis," Finance Research Letters, Elsevier, vol. 18(C), pages 100-107.
  45. Volkan Muslu & Sunay Mutlu & Suresh Radhakrishnan & Albert Tsang, 2019. "Corporate Social Responsibility Report Narratives and Analyst Forecast Accuracy," Journal of Business Ethics, Springer, vol. 154(4), pages 1119-1142, February.
  46. Sheng, Xuguang & Thevenot, Maya, 2012. "A new measure of earnings forecast uncertainty," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 21-33.
  47. Fatemi, Ali & Glaum, Martin & Kaiser, Stefanie, 2018. "ESG performance and firm value: The moderating role of disclosure," Global Finance Journal, Elsevier, vol. 38(C), pages 45-64.
  48. Francesco Dainelli & Alessio Mengoni, 2025. "Review of Prospective Financial Statements: Stationary vs. Forward-Looking Assessments," JRFM, MDPI, vol. 18(6), pages 1-20, May.
  49. Jorida Papakroni, 2018. "The dispersion anomaly and analyst recommendations," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 861-896, April.
  50. Leon Li & Nen-Chen Richard Hwang & Gilbert V. Nartea, 2019. "Effects of Earnings Management Strategy on Earnings Predictability: A Quantile Regression Approach Based on Opportunistic Versus Efficient Earnings Management," Working Papers in Economics 19/09, University of Canterbury, Department of Economics and Finance.
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