The Earnings Expectations Game and the Dispersion Anomaly
研究分析师预测离散度高的公司为何未来股票收益较低，发现该负相关集中在盈利公告期，且由公司满足盈利预期的倾向驱动，投资者错误定价解释了这一异象。
This study examines the role of differences in firms’ propensity to meet earnings expectations in explaining why firms with high analyst forecast dispersion experience relatively low future stock returns. We first demonstrate that the negative relation between dispersion and returns is concentrated around earnings announcements. Next, we show that this relation disappears when we control for ex ante measures of firms’ propensity to meet earnings expectations and that the component of dispersion explained by these measures drives the return predictability of dispersion. We further demonstrate that firms with low analyst dispersion are substantially more likely to achieve positive earnings surprises and provide new evidence consistent with both expectations management and strategic forecast pessimism explaining this result. Overall, we conclude that investor mispricing of firms’ participation in the earnings-expectations game provides a viable explanation for the dispersion anomaly. This paper was accepted by Brian Bushee, accounting.