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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2016
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| 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 |