Publication: The Dispersion Effect in International Stock Returns
The Dispersion Effect in International Stock Returns
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Leippold, M., & Lohre, H. (2014). The Dispersion Effect in International Stock Returns. Journal of Empirical Finance, 29, 331–342. https://doi.org/10.1016/j.jempfin.2014.09.001
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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
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- Lohre, Harald
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Leippold, M., & Lohre, H. (2014). The Dispersion Effect in International Stock Returns. Journal of Empirical Finance, 29, 331–342. https://doi.org/10.1016/j.jempfin.2014.09.001