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多伦多大学助理教授岑岭:分歧、反应不足与股票收益

时间: 2014-06-18 16:03 来源: 作者: 浏览量:2048 字号: 打印

 

主题:Disagreement, Underreaction, and Stock Returns分歧、反应不足与股票收益

主讲人:岑岭,助理教授,多伦多大学

日期:2014618日(周三)

时间:下午1:00-2:30

地点:清华五道口金融学院4号楼101教室

语言:英文

摘要:

We explore the analyst earnings forecasts data to study the interactive effect between disagreement and under reaction to earnings news on asset prices. We find that (1) changes in the mean of forecasted earnings, as an under reaction measure, predict future returns positively and significantly; that (2) changes in the standard deviation of forecasted earnings, as a disagreement measure, predict future returns negatively and marginally; and more importantly, that (3) changes in the standard deviation predict future returns significantly only when changes in the mean are negative. Our results are robust both in the standard cross-sectional return setting and in the event-study setting around earnings announcements. Our evidence suggests that the return predictability of analyst forecast dispersion measure in Diether, Malloy, and Scherbina (2002) is mainly contributed by the under reaction component in the measure’s deflator rather by the disagreement component in the numerator.

主讲人简介:

Dr. Ling Cen is an Assistant Professor of Finance at The University of Toronto. He received his Ph.D. in Finance from Hong Kong University of Science and Technology in 2008 and his M.S. in MSc in Economics & Finance with distinction in from The University of Warwick in 2002. Dr. Cen’s current research interests focus on product market relationships, corporate finance, buy-side analyst behaviors, information supply, disclosure and diffusion, and equity issuance (IPOs and SEOs). His research has been published in Journal of Financial and Quantitative Analysis and Management Science.