Original paper
Earnings Expectations and the Dispersion Anomaly
Abstract
We show that investors do not fully unravel sell-side analyst forecast pessimism, as measures of prior consensus and individual analyst forecast pessimism predict both the sign of earnings surprises and the stock returns around earnings announcements. Firms with a high probability of forecast pessimism experience significantly higher announcement returns than those with a low probability. Importantly, our findings are driven by pessimistic...
Paper Details
Title
Earnings Expectations and the Dispersion Anomaly
Published Date
Jan 1, 2015
Journal
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Notes
History