[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 2 [Year:] 2009 [Issue:] 1 [Pages:] 75-93
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.
Analyst forecast dispersion Stock market crash Fama-French three-factor model