Dispersion in Analyst Forecasts and the Profitability of Earnings Momentum Strategies
发现分析师共识预测的分歧程度能预测未来股票收益，在德国市场，低分歧股票上应用盈利动量策略可获得更高异常收益，支持投资者保守性偏差的行为模型。
This paper shows that the dispersion in analysts’ consensus forecasts contains incremental information to predict future stock returns. Consistent with prior research, stock prices in the German market underreact to news about future earnings and drift in the direction suggested by analysts’ forecasts revisions. Even higher abnormal returns can be achieved by applying such an earnings momentum strategy to stocks with a low dispersion in analyst forecasts. These results support one of the recent behavioural models in which investors underweight new evidence and conservatively update their beliefs in the right direction, but by too little in magnitude with respect to more objective information.