Extreme Sentiment and Jumps in Analyst Forecast Dispersion

Pan Li, Kecai Chen and Xiaoneng Zhu

Finance Research Letters, 2024, vol. 62, issue PA

Abstract: We study the effects of extreme sentiment on analyst forecast dispersion using the COVID-19 pandemic as a natural experiment, building on China's unique experimental environment. Employing manually collected data, we find that unlike common sentiment measured by air quality and investor sentiment, extreme sentiment stemming from the COVID-19 pandemic leads to jumps in analyst forecast dispersion. After controlling for common sentiment, the effect remains. Our study suggests that jumps in analyst forecast dispersion can be explained by extreme sentiment.

Keywords: Extreme sentiment; Analyst forecast dispersion; Jumps; COVID-19 pandemic (search for similar items in EconPapers)
JEL-codes: G14 G17 G41 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001430

DOI: 10.1016/j.frl.2024.105113

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