Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/178520 
Year of Publication: 
2009
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 2 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2009 [Pages:] 75-93
Publisher: 
MDPI, Basel
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.
Subjects: 
Analyst forecast dispersion
Stock market crash
Fama-French three-factor model
JEL: 
D82
G14
M41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-sa Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.