文章基本信息

标题：The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes
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作者：Chong, Terence Tai Leung ; Wang, Xiaolei
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2009
卷号：2
期号：1
页码：75-93
出版社：MDPI, Open Access Journal
摘要：The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill this void by estimating a Fama-French model regression with AFD as a factor. Instead of an expected linear relationship, a nonlinear U-shape relationship between the AFD and excess returns is found.
关键词：Analyst forecast dispersion; Stock market crash; Fama-French three-factor model