Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/70811
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dc.contributorSchool of Accounting and Financeen_US
dc.creatorCen, Len_US
dc.creatorWei, KCJen_US
dc.creatorYang, LYen_US
dc.date.accessioned2017-12-28T06:18:12Z-
dc.date.available2017-12-28T06:18:12Z-
dc.identifier.issn0025-1909en_US
dc.identifier.urihttp://hdl.handle.net/10397/70811-
dc.language.isoenen_US
dc.publisherInstitute for Operations Research and the Management Sciencesen_US
dc.rightsCopyright © 2016, INFORMSen_US
dc.rightsThis is an Author Accepted Manuscript of an article published by INFORMS, available online: https://doi.org/10.1287/mnsc.2015.2405en_US
dc.subjectDisagreementen_US
dc.subjectShort-sale constraintsen_US
dc.subjectUnderreactionen_US
dc.subjectCross section of stock returnsen_US
dc.titleDisagreement, underreaction, and stock returnsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage1214en_US
dc.identifier.epage1231en_US
dc.identifier.volume63en_US
dc.identifier.issue4en_US
dc.identifier.doi10.1287/mnsc.2015.2405en_US
dcterms.abstractWe 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.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationManagement science, Apr. 2017, v. 63, no. 4, p. 1214-1231en_US
dcterms.isPartOfManagement scienceen_US
dcterms.issued2017-04-
dc.identifier.isiWOS:000399362100019-
dc.identifier.scopus2-s2.0-85017318323-
dc.identifier.ros2016006165-
dc.source.typeArticle-
dc.identifier.eissn1526-5501en_US
dc.identifier.rosgroupid2016005904-
dc.description.ros2016-2017 > Academic research: refereed > Publication in refereed journalen_US
dc.description.validatebcrcen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumbera0801-n18-
dc.description.fundingSourceRGCen_US
dc.description.fundingTextRGC: 644212en_US
dc.description.pubStatusPublisheden_US
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