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

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  • Terence Tai-Leung Chong

    (Department of Economics, The Chinese University of Hong Kong)

  • Xiaolei Wang

    (Department of Economics, The Chinese University of Hong Kong)

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.

Suggested Citation

  • Terence Tai-Leung Chong & Xiaolei Wang, 2009. "The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes," JRFM, MDPI, vol. 2(1), pages 1-19, December.
    • Handle: RePEc:gam:jjrfmx:v:2:y:2009:i:1:p:75-93:d:28364
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    References listed on IDEAS

    as
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