Dispersion of analysts' expectations and the cross-section of stock returns

Bokhyeon Baik, Cheolbeom Park

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)


Empirical evidence is presented to show that the dispersion in analysts' forecasts can explain part of the differences in cross-sectional stock returns. Generally, high dispersion stocks show relatively lower future returns than low dispersion stocks, and the difference in performance is statistically significant. Furthermore, the negative relation between stock returns and dispersions continues to hold even after controlling for size, book-to-market ratio and earnings-price ratio. This empirical fact is consistent with the earlier model of Harrison and Kreps, and demonstrates that investors are exploiting their awareness of heterogeneity in expectations in order to pursue resale gains.

Original languageEnglish
Pages (from-to)829-839
Number of pages11
JournalApplied Financial Economics
Issue number11
Publication statusPublished - 2003 Nov
Externally publishedYes

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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