Forecast Dispersion and the Cross Section of Expected Returns
解释了分析师盈利预测的离散度与股票收益之间的负相关关系，认为离散度是未定价信息风险的代理变量，并通过模型和实证检验支持这一观点。
ABSTRACT Recent work by Diether, Malloy, and Scherbina (2002) has established a negative relationship between stock returns and the dispersion of analysts' earnings forecasts. I offer a simple explanation for this phenomenon based on the interpretation of dispersion as a proxy for unpriced information risk arising when asset values are unobservable. The relationship then follows from a general options‐pricing result: For a levered firm, expected returns should always decrease with the level of idiosyncratic asset risk. This story is formalized with a straightforward model. Reasonable parameter values produce large effects, and the theory's main empirical prediction is supported in cross‐sectional tests.