Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/70811
PIRA download icon_1.1View/Download Full Text
Title: Disagreement, underreaction, and stock returns
Authors: Cen, L
Wei, KCJ 
Yang, LY
Issue Date: Apr-2017
Source: Management science, Apr. 2017, v. 63, no. 4, p. 1214-1231
Abstract: We explore analysts' earnings forecast data to improve on one popular disagreement measure-the analyst forecast dispersion measure-proposed by Diether et al. [Diether KB, Malloy CJ, Scherbina A (2002) Differences of opinion and the cross section of stock returns. J. Finance 57: 2113-2141]. Our analysis suggests that changes in the standard deviations of forecasted earnings can work as a complementary disagreement measure that is comparable across stocks and immune from other return-predictive information contained in the normalization scalars of analyst forecast dispersion measures. We also document evidence that the change-based disagreement measure predicts future cross-sectional returns significantly only when changes in the mean forecasts are negative. This finding suggests that the interaction between disagreement and underreaction to earnings news affects asset prices.
Keywords: Disagreement
Short-sale constraints
Underreaction
Cross section of stock returns
Publisher: Institute for Operations Research and the Management Sciences
Journal: Management science 
ISSN: 0025-1909
EISSN: 1526-5501
DOI: 10.1287/mnsc.2015.2405
Rights: Copyright © 2016, INFORMS
This is an Author Accepted Manuscript of an article published by INFORMS, available online: https://doi.org/10.1287/mnsc.2015.2405
Appears in Collections:Journal/Magazine Article

Files in This Item:
File Description SizeFormat 
a0801-n18_MS_Dispersion_PolyU.pdfPre-Published version844.14 kBAdobe PDFView/Open
Open Access Information
Status open access
File Version Final Accepted Manuscript
Access
View full-text via PolyU eLinks SFX Query
Show full item record

Page views

84
Last Week
0
Last month
Citations as of May 22, 2022

Downloads

71
Citations as of May 22, 2022

SCOPUSTM   
Citations

13
Last Week
0
Last month
Citations as of May 20, 2022

WEB OF SCIENCETM
Citations

13
Last Week
0
Last month
Citations as of May 19, 2022

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.