Dispersion in Analyst Forecasts and the Profitability of Earnings Momentum Strategies
Dispersion in Analyst Forecasts and the Profitability of Earnings Momentum Strategies
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分析师预测的离散性和盈利动量策略的盈利能力
DOI：
10.2139/ssrn.270036
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发表时间：
2001
期刊：
影响因子：
--
通讯作者：
Andreas P. Dische
中科院分区：
文献类型：
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作者：
Andreas P. Dische
本文表明，分析师共识预测的离散性包含预测未来股票回报的增量信息。与之前的研究一致，德国市场的股价对未来盈利的消息反应不足，并朝着分析师预测修正所暗示的方向漂移。通过将这种盈利动量策略应用于分析师预测离散度较低的股票，甚至可以实现更高的异常回报。这些结果支持了最近的一种行为模型，其中投资者低估了新证据，并保守地向正确的方向更新他们的信念，但相对于更客观的信息，其幅度太小。
This paper shows that the dispersion in analysts’ consensus forecasts contains incremental information to predict future stock returns. Consistent with prior research, stock prices in the German market underreact to news about future earnings and drift in the direction suggested by analysts’ forecasts revisions. Even higher abnormal returns can be achieved by applying such an earnings momentum strategy to stocks with a low dispersion in analyst forecasts. These results support one of the recent behavioural models in which investors underweight new evidence and conservatively update their beliefs in the right direction, but by too little in magnitude with respect to more objective information.