Journal of Empirical Finance · VOLUME 29 · DECEMBER 2014

多国股票回报中的预测差异异象

作者：Markus Leippold (University of Zurich, Department of Banking and Finance), Harald Lohre (Deka Investment GmbH, Quantitative Products)

摘要：本文发现分析师盈利预测分歧较大的股票不仅在美国表现较差，在欧洲一些国家也是同样。通过对1990到2008年间基于分析师预测差异的投资策略产生的超额回报进行分析，作者发现策略回报在年度间分布很不平均，大量的超额回报产生在20世纪90年代的中后期和2000年到2003年之间；同时作者还发现在科技泡沫破裂的很短的时间区间内策略的收益最大。因此作者得出了基于分析师预测差异的投资策略在实际中并不容易实现的结论，尤其是在定价误差最大的股票往往套利成本最大的情况下。

关键词：多国股票盈利预测差异现象、信息不确定性、流动性

The dispersion effect in international stock returns

Markus Leippold (University of Zurich, Department of Banking and Finance), Harald Lohre (Deka Investment GmbH, Quantitative Products)

ABSTRACT

We find that stocks exhibiting high dispersion in analysts' earnings forecasts not only underperform in the U.S. but also in some European countries. Investigating the abnormal returns generated by the dispersion strategy around the world for the 1990–2008 sample period, we observe that the returns of the strategy are uneven, with large abnormal returns realized during the mid-to-late 1990s and the 2000–2003 period. In particular, we document that the dispersion effect is most profitable in a very narrow time frame around the burst of the technology bubble. As a consequence, the dispersion hedge strategy would have been rather difficult to implement, especially given that the highest mispricing obtains for stocks characterized by high arbitrage costs.

Keywords: International dispersion effect; Information uncertainty; Liquidity

原文链接：

http://www.sciencedirect.com/science/article/pii/S0927539814000826

翻译：殷曼琳