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Analysts’ Forecast Dispersion and Stock Returns: A Quantile Regression Approach
16 references·4 citing·44 second hop
Analysts’ Forecast Dispersion and Stock Returns: A Quantile Regression Approach (2014)Analysts’ Forecast Dispersion and Stock R…The changing distribution of male wages in the UK (2017)The changing distribution of …The impact of risk and uncertainty on expected returns☆ (2009)The impact of risk and uncert…Further Evidence on the Relation between Analysts' Forecast Dispersion and Stock Returns* (2009)Further Evidence on the Relat…Divergence of Opinion and Equity Returns (2006)Divergence of Opinion and Equ…Forecast Dispersion and the Cross Section of Expected Returns (2004)Forecast Dispersion and the C…CAViaR (2004)CAViaRThe Implications of Using Stock-Split Adjusted I/B/E/S Data in Empirical Research (2003)The Implications of Using Sto…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…The Changing Distribution of Male Wages in the U.K. (2000)The Changing Distribution of …Factors Affecting the Transmission of Earnings across Generations: A Quantile Regression Approach (1999)Factors Affecting the Transmi…The effect of school quality on student performance: A quantile regression approach (1998)The effect of school quality …Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression (1994)Changes in the U.S. Wage Stru…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Global evidence on the association between environmental, social, and governance disclosures and future earnings risk (2023)Global evidence on the associ…Do market participants value earnings management? An analysis using the quantile regression method (2018)Do market participants value …ESG performance and firm value: The moderating role of disclosure (2017)ESG performance and firm valu…The effects of financial risks on the relationship between earnings and stock returns (2015)The effects of financial risk…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)U.S. Earnings Levels and Earnings Inequality: A Review of Recent Trends and Proposed Explanations (1992)How Computers Have Changed the Wage Structure: Evidence from Microdata, 1984-1989 (1993)Wage Inequality and the Rise in Returns to Skill (1993)Labor Market Institutions and the Distribution of Wages, 1973-1992: A Semiparametric Approach (1996)The analysis of household surveys (1997)Changes in the Wage Structure and Earnings Inequality (1999)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)The VIX, the variance premium and stock market volatility (2014)ESG Rating Disagreement and Stock Returns (2021)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Measuring Uncertainty (2015)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Short sales, institutional investors and the cross-section of stock returns (2005)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Toward a New Conception of the Environment-Competitiveness Relationship (1995)Econometric Analysis of Cross Section and Panel Data (2001)Do environmental, social, and governance activities improve corporate financial performance? (2018)The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review (2019)Impact of ESG performance on firm value and profitability (2022)Evaluating the performance of value versus glamour stocks The impact of selection bias (1995)Risk and Return of Value Stocks (1998)Is size dead? A review of the size effect in equity returns (2011)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,600 cited
  • 2004CAViaR2,210 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 1994Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression1,108 cited
  • 2004Forecast Dispersion and the Cross Section of Expected Returns559 cited
  • 2009The impact of risk and uncertainty on expected returns☆408 cited
  • 1991Fundamentals and Stock Returns in Japan353 cited
  • 1998The effect of school quality on student performance: A quantile regression approach322 cited
  • 2003The Implications of Using Stock-Split Adjusted I/B/E/S Data in Empirical Research313 cited
  • 2017The changing distribution of male wages in the UK261 cited
  • 2000The Changing Distribution of Male Wages in the U.K.226 cited
  • 1999Factors Affecting the Transmission of Earnings across Generations: A Quantile Regression Approach191 cited
  • 2009Further Evidence on the Relation between Analysts' Forecast Dispersion and Stock Returns*

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186 cited
  • 2006Divergence of Opinion and Equity Returns183 cited
  • Cited by

    • 2017ESG performance and firm value: The moderating role of disclosure1,900 cited
    • 2023Global evidence on the association between environmental, social, and governance disclosures and future earnings risk25 cited
    • 2015The effects of financial risks on the relationship between earnings and stock returns13 cited
    • 2018Do market participants value earnings management? An analysis using the quantile regression method12 cited