À繫¿¬±¸ Á¦ ±Ç È£ (2014³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.1160~1199
pp.1160~1199
Cross-Sectional and Intertemporal Forecast Dispersions, Risk, and Stock Returns
Dongcheol Kim Korea University Business School
Haejung Na Korea University Business School
Previous researches focus on examining only the relation between cross-sectional earnings forecast dispersion and stock returns and on providing explanations for the negative dispersionreturn relation. This paper attempts to examine not only the relation between time-series forecast dispersion and stock returns, but also whether time-series and cross-sectional forecast dispersions contain systematic risk components, and whether such risk is priced in stock returns. We find that there is a strong positive relation between time-series forecast dispersion and stock returns. We also find that time-series forecast dispersion apparently contains systematic risk components and that such risk is priced in stock returns, while cross-sectional dispersion does not. In other words, dispersion in analysts' forecasts is informative intertemporally in terms of pricing ability but not cross-sectionally.
Dongcheol Kim
Haejung Na
Previous researches focus on examining only the relation between cross-sectional earnings forecast dispersion and stock returns and on providing explanations for the negative dispersionreturn relation. This paper attempts to examine not only the relation between time-series forecast dispersion and stock returns, but also whether time-series and cross-sectional forecast dispersions contain systematic risk components, and whether such risk is priced in stock returns. We find that there is a strong positive relation between time-series forecast dispersion and stock returns. We also find that time-series forecast dispersion apparently contains systematic risk components and that such risk is priced in stock returns, while cross-sectional dispersion does not. In other words, dispersion in analysts' forecasts is informative intertemporally in terms of pricing ability but not cross-sectionally.
[ 07327 ] 67-8, Yeouinaru-ro, Yeongdeungpo-gu, Seoul, Korea TEL. +82-2-2003-9921 FAX. +82-2-2003-9979 E-mail. office@korfin.org COPYRIGHT(C) SINCE 1987 KOREAN FINANCE ASSOCIATION. All rights reserved.