UZH-Logo

Maintenance Infos

The Dispersion Effect in International Stock Returns


Leippold, Markus; Lohre, Harald (2014). The Dispersion Effect in International Stock Returns. Journal of Empirical Finance, 29:331-342.

Abstract

We find that stocks exhibiting high dispersion in analysts' earnings forecasts do not only underperform in the U.S. but also in some European countries. However, testing for the dispersion effect in many countries calls for adequate multiple testing controls. Under this paradigm it turns out that none of the naively derived dispersion effects proves to be a sustainable phenomenon. Rationalizing this finding, we document that the dispersion effect's abnormal returns amass in a very narrow time frame and mainly derive from a bet against the technology bubble that would have been rather difficult to implement.

Abstract

We find that stocks exhibiting high dispersion in analysts' earnings forecasts do not only underperform in the U.S. but also in some European countries. However, testing for the dispersion effect in many countries calls for adequate multiple testing controls. Under this paradigm it turns out that none of the naively derived dispersion effects proves to be a sustainable phenomenon. Rationalizing this finding, we document that the dispersion effect's abnormal returns amass in a very narrow time frame and mainly derive from a bet against the technology bubble that would have been rather difficult to implement.

Altmetrics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:December 2014
Deposited On:09 Dec 2015 13:36
Last Modified:05 Apr 2016 19:39
Publisher:Elsevier
ISSN:0927-5398
Publisher DOI:https://doi.org/10.1016/j.jempfin.2014.09.001
Official URL:http://www.sciencedirect.com/science/article/pii/S0927539814000826
Other Identification Number:merlin-id:4524

Download

Full text not available from this repository.
View at publisher

TrendTerms

TrendTerms displays relevant terms of the abstract of this publication and related documents on a map. The terms and their relations were extracted from ZORA using word statistics. Their timelines are taken from ZORA as well. The bubble size of a term is proportional to the number of documents where the term occurs. Red, orange, yellow and green colors are used for terms that occur in the current document; red indicates high interlinkedness of a term with other terms, orange, yellow and green decreasing interlinkedness. Blue is used for terms that have a relation with the terms in this document, but occur in other documents.
You can navigate and zoom the map. Mouse-hovering a term displays its timeline, clicking it yields the associated documents.

Author Collaborations