The Implications of Dispersion in Analysts' Earnings Forecasts for Future ROE and Future Returns
发现分析师预测的离散度与公司未来净资产收益率和股票收益负相关，表明市场未能及时吸收离散度中的信息，且离散度还反映了贝塔和公司规模未捕捉的特定风险。
Dispersion in analysts' forecasts is empirically evaluated by associating dispersion with a firm's future accounting rate of return‐on‐equity (ROE) and future returns. Forecast dispersion is significantly and negatively associated with future ROE, consistent with the notion that firm disclosures and analysts' information acquisition efforts increase as firm prospects improve. Forecast dispersion is negatively associated with future returns. This appears due to the implications of dispersion for future ROE, and suggests that the market does not immediately assimilate the information contained in forecast dispersion. Dispersion also conveys information about firm‐specific risk not captured by beta and firm size.