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

Department of Economics, The Chinese University of Hong Kong
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J. Risk Financial Manag. 2009, 2(1), 75-93; https://doi.org/10.3390/jrfm2010075
Published: 31 December 2009
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. View Full-Text
Keywords: Analyst forecast dispersion; Stock market crash; Fama-French three-factor model Analyst forecast dispersion; Stock market crash; Fama-French three-factor model
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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.

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