Analyst Disagreement and Aggregate Volatility Risk
解释了分析师预测分歧大的公司未来收益低的原因：这些公司在总体波动上升期能对冲波动风险，从而获得低收益；总体波动风险因子可解释高低分歧公司的收益差异。
Abstract The paper explains why firms with high dispersion of analyst forecasts earn low future returns. These firms beat the capital asset pricing model in periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility risk. The aggregate volatility risk factor can explain the abnormal return differential between high- and low-disagreement firms. This return differential is higher for firms with abundant real options, and this fact can be explained by aggregate volatility risk. Aggregate volatility risk can also explain why the link between analyst disagreement and future returns is stronger for firms with high short-sale constraints.