J. Risk Financial Manag. 2009, 2(1), 75-93; doi:10.3390/jrfm2010075
Article

The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes

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Published: 31 December 2009
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract: 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.
Keywords: Analyst forecast dispersion; Stock market crash; Fama-French three-factor model
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MDPI and ACS Style

Chong, T.T.-L.; Wang, X. The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes. J. Risk Financial Manag. 2009, 2, 75-93.

AMA Style

Chong TT-L, Wang X. The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes. Journal of Risk and Financial Management. 2009; 2(1):75-93.

Chicago/Turabian Style

Chong, Terence T.-L.; Wang, Xiaolei. 2009. "The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes." J. Risk Financial Manag. 2, no. 1: 75-93.

J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert