论文标题(title)： What drives the dispersion anomaly?

发表时间(time)： 2022年 1月

论文所有作者(authors)： Byoung-Kyu Min, Buhui Qiu,&Tai-Yong Roh

期刊名及所属分类(journal title&paper classification)： Journal of Banking & Finance (SSCI)

英文摘要：This paper shows that the stock return predictability of analysts’ earnings forecast dispersion is driven by the information content of dispersion about future firm profitability. Greater dispersion predicts lower future profitability, and the return predictability of dispersion disappears after controlling for future profitability. We propose disclosure manipulation as an explanation for the relation between dispersion and future profitability. Disclosure quality is inversely related to forecast dispersion. Moreover, the return predictability of dispersion decreases in disclosure quality. Our results are robust to the consideration of previously suggested explanations for the dispersion anomaly.