发布者:xieying 发布时间：2017-12-01 10:13:51 浏览数： 次 [ 返回 ]
报告人：Chuan-Yang Hwang，Professor in Finance, Nanyang Technological University, Singapore
This paper offers a joint test of two plausible explanations (difference-in-opinion vs. analyst self-censoring) for why stocks with higher dispersion in analysts’ earnings forecasts earn lower subsequent returns (“dispersion effect”). We recognize the possibility that institutional ownership can be endogenous, and the bias this would cause in the tests of the dispersion effect. We address this concern by exploiting the exogenous variations in institutional ownership generated by the annual reconstitution of the Russell 3000 index. In contrast to the evidence that firms with higher institutional ownership have weaker dispersion effect found in the general sample, we find the exactly opposite in the Russell sample. Furthermore, we find parallel results when we replace stock returns by analyst forecast bias. These results strongly suggest that analyst self-censoring rather than the more popular difference-in-opinion story is the more plausible explanation for the dispersion effect, at least in a sample where endogeneity bias of institutional ownership is minimized.
Chuan Yang Hwang 教授现为新加坡南洋理工大学财务学教授，于美国加利福尼亚大学洛杉矶分校获得财务学博士学位，研究兴趣为投资学、市场微结构和公司财务。Review of Financial and Quantitative Analysis 、Asia-Pacific Journal of Financial Studies 和 Journal of Financial Studies 的副主编，曾在Journal of Finance、Review of Financial Studies等国际顶级学术期刊发表多篇论文，曾任亚洲财务学会副主席。