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Further Evidence on the Relation between Analysts' Forecast Dispersion and Stock Returns*
16 references·16 citing·36 second hopsampled
Further Evidence on the Relation between Analysts' Forecast Dispersion and Stock Returns* (2009)Further Evidence on the Relation between …Determinants of the informativeness of analyst research (2006)Determinants of the informati…Managers' Motives to Withhold Segment Disclosures and the Effect of SFAS No. 131 on Analysts' Information Environment (2005)Managers' Motives to Withhold…The timing and value of forecast and recommendation revisions (2004)The timing and value of forec…Information and the Cost of Capital (2004)Information and the Cost of C…Forecast Dispersion and the Cross Section of Expected Returns (2004)Forecast Dispersion and the C…Information and the Cost of Capital (2002)Information and the Cost of C…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Essays on disclosure (2001)Essays on disclosureUsing analysts' forecasts to measure properties of analysts' information environment. (1998)Using analysts' forecasts to …Pre-announcement and event-period private information (1997)Pre-announcement and event-pe…Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Accounting earnings and cash flows as measures of firm performance (1994)Accounting earnings and cash …Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Trading Volume and Price Reactions to Public Announcements (1991)Trading Volume and Price Reac…Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure, Liquidity, and th…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Standing out from the crowd: Dedicated institutional investors and strategy uniqueness (2021)Standing out from the crowd: …Regulating non-financial reporting: evidence from European firms’ environmental, social and governance disclosures and earnings risk (2021)Regulating non-financial repo…The role of analysts: An examination of the idiosyncratic volatility anomaly in the Chinese stock market (2019)The role of analysts: An exam…Audit Partner Tenure and Internal Control Reporting Quality: U.S. Evidence from the Not‐For‐Profit Sector (2017)Audit Partner Tenure and Inte…Auditor Changes and the Cost of Bank Debt (2016)Auditor Changes and the Cost …The Effects of Auditor Rotation, Professional Skepticism, and Interactions with Managers on Audit Quality (2012)The Effects of Auditor Rotati…Longevity risk, subjective survival expectations, and individual saving behavior (2012)Longevity risk, subjective su…Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion (2012)Idiosyncratic Return Volatili…How do investors react under uncertainty? (2011)How do investors react under …A new measure of earnings forecast uncertainty (2011)A new measure of earnings for…Understanding analysts' use of stock returns and other analysts' revisions when forecasting earnings (2010)Understanding analysts' use o…Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior (2010)Longevity Risk, Subjective Su…Customer Satisfaction, Analyst Stock Recommendations, and Firm Value (2010)Customer Satisfaction, Analys…The stock price effects of changes in dispersion of investor beliefs during earnings announcements (2008)The stock price effects of ch…Institutional stakeholdings and better-informed traders at earnings announcements (2008)Institutional stakeholdings a…Earnings Surprises that Motivate Analysts to Reduce Average Forecast Error (2008)Earnings Surprises that Motiv…On the Impossibility of Informationally Efficient Markets (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Does board gender diversity improve the informativeness of stock prices? (2011)The Pre-FOMC Announcement Drift (2012)Inferring Trade Direction from Intraday Data (1991)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)Earnings Management During Import Relief Investigations (1991)Detecting Earnings Management. (1995)The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors (2002)Earnings management and investor protection: an international comparison (2003)The conservatism principle and the asymmetric timeliness of earnings1 (1997)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Cost Behavior and Analysts’ Earnings Forecasts (2010)The Effect of Mandatory IFRS Adoption on Financial Analysts’ Information Environment (2010)Analyst Information Discovery and Interpretation Roles: A Topic Modeling Approach (2017)Disclosure level and the cost of equity capital. (1997)Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)The economic implications of corporate financial reporting (2005)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)Information Uncertainty and Stock Returns (2006)Liquidity and Asset Prices (2006)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1991Disclosure, Liquidity, and the Cost of Capital3,828 cited
  • 2004Information and the Cost of Capital3,057 cited
  • 1994Accounting earnings and cash flows as measures of firm performance2,584 cited
  • 2001Essays on disclosure2,478 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 1991Trading Volume and Price Reactions to Public Announcements1,097 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 2006Determinants of the informativeness of analyst research631 cited
  • 1997Pre-announcement and event-period private information562 cited
  • 2004Forecast Dispersion and the Cross Section of Expected Returns559 cited
  • 1998Using analysts' forecasts to measure properties of analysts' information environment.503 cited
  • 2002Information and the Cost of Capital477 cited
  • 2005Managers' Motives to Withhold Segment Disclosures and the Effect of SFAS No. 131 on Analysts' Information Environment466 cited

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  • 2004The timing and value of forecast and recommendation revisions429 cited
  • Cited by

    • 2010Customer Satisfaction, Analyst Stock Recommendations, and Firm Value210 cited
    • 2010Understanding analysts' use of stock returns and other analysts' revisions when forecasting earnings125 cited
    • 2012Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion120 cited
    • 2012The Effects of Auditor Rotation, Professional Skepticism, and Interactions with Managers on Audit Quality119 cited
    • 2012Longevity risk, subjective survival expectations, and individual saving behavior119 cited
    • 2021Standing out from the crowd: Dedicated institutional investors and strategy uniqueness99 cited
    • 2011How do investors react under uncertainty?97 cited
    • 2016Auditor Changes and the Cost of Bank Debt94 cited
    • 2008Earnings Surprises that Motivate Analysts to Reduce Average Forecast Error92 cited
    • 2008Institutional stakeholdings and better-informed traders at earnings announcements85 cited
    • 2021Regulating non-financial reporting: evidence from European firms’ environmental, social and governance disclosures and earnings risk53 cited
    • 2019The role of analysts: An examination of the idiosyncratic volatility anomaly in the Chinese stock market51 cited
    • 2011A new measure of earnings forecast uncertainty50 cited
    • 2008The stock price effects of changes in dispersion of investor beliefs during earnings announcements44 cited
    • 2010Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior41 cited
    • 2017Audit Partner Tenure and Internal Control Reporting Quality: U.S. Evidence from the Not‐For‐Profit Sector37 cited