Macro disagreement and the cross-section of stock returns

Macro disagreement and the cross-section of stock returns

This paper examines the effects of macro-level disagreement on the cross-section of stock returns. Using forecast dispersion measure from Survey of Professional Forecasters database, I find that when forecast dispersion on macroeconomic factor is high, stocks that have high loadings on that factor e...

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Bibliographic Details
Main Author: LI, Frank Weikai
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Macro Disagreement
Macroeconomic Risk Factors
Mispricing
Behavioral Finance
Corporate Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5288
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6287/viewcontent/SSRN_id2423758.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/5288
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6287/viewcontent/SSRN_id2423758.pdf

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