Macro disagreement and the cross-section of stock returns

• المؤلف الرئيسي: LI, Frank Weikai
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2016
• الموضوعات: Macro Disagreement; Macroeconomic Risk Factors; Mispricing; Behavioral Finance; Corporate Finance; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/5288; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6287/viewcontent/SSRN_id2423758.pdf

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...