Disagreement, Underreaction, and Stock Returns

• 成果类型: Article
• 署名作者: Cen, Ling; Wei, K. C. John; Yang, Liyan
• 署名单位: University of Toronto; University Toronto Scarborough; Hong Kong Polytechnic University; University of Toronto; Peking University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2405
• 发表日期: 2017
• 页码: 1214-1231
• 关键词: Disagreement; Short-sale constraints; underreaction; Cross section of stock returns

摘要

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.