Disagreement, Underreaction, and Stock Returns
利用分析师盈利预测数据改进分歧度量，发现基于预测标准差变化的分歧指标在平均预测下降时能显著预测横截面股票收益，揭示分歧与对盈利新闻反应不足的交互作用影响资产价格。
We explore analysts’ earnings forecast data to improve on one popular disagreement measure—the analyst forecast dispersion measure—proposed by Diether et al. [Diether KB, Malloy CJ, Scherbina A (2002) Differences of opinion and the cross section of stock returns. J. Finance 57:2113–2141]. Our analysis suggests that changes in the standard deviations of forecasted earnings can work as a complementary disagreement measure that is comparable across stocks and immune from other return-predictive information contained in the normalization scalars of analyst forecast dispersion measures. We also document evidence that the change-based disagreement measure predicts future cross-sectional returns significantly only when changes in the mean forecasts are negative. This finding suggests that the interaction between disagreement and underreaction to earnings news affects asset prices. This paper was accepted by Wei Jiang, finance.