|
|
|
|
||||
|
||||
The Dispersion Effect in International Stock ReturnsMarkus LeippoldUniversity of Zurich - Department of Banking and Finance; Swiss Finance Institute; University of Zurich - Faculty of Economics, Business Administration and Information Technology Harald LohreDeka Investment GmbH November 16, 2012 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.
Number of Pages in PDF File: 34 Keywords: International Dispersion Effect, Multiple Hypotheses Testing, Information Uncertainty, Liquidity JEL Classification: G12, G14, G15 working papers seriesDate posted: June 1, 2008 ; Last revised: November 17, 2012Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo7 in 0.563 seconds
