The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes

Terence Tai Leung Chong and Xiaolei Wang
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Xiaolei Wang: Department of Economics, The Chinese University of Hong Kong

JRFM, 2009, vol. 2, issue 1, 1-19

Abstract: The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill this void by estimating a Fama-French model regression with AFD as a factor. Instead of an expected linear relationship, a nonlinear U-shape relationship between the AFD and excess returns is found.

Keywords: Analyst forecast dispersion; Stock market crash; Fama-French three-factor model (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2009
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