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- Publisher Website: 10.1016/j.pacfin.2021.101698
- Scopus: eid_2-s2.0-85122486855
- WOS: WOS:000882846200010
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Article: What Explains the Dispersion Effect? Evidence from Institutional Ownership
Title | What Explains the Dispersion Effect? Evidence from Institutional Ownership |
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Authors | |
Keywords | Dispersion effect Analyst incentives Short-sale constraint Institutional ownership Endogeneity |
Issue Date | 2022 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/pacfin |
Citation | Pacific-Basin Finance Journal, 2022, v. 71, article no. 101698 How to Cite? |
Abstract | This paper conducts 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 (the dispersion effect). We exploit exogenous variations in institutional ownership generated by the annual index reconstitution to address the endogeneity concern of institutional ownership. We find 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 the endogeneity bias of institutional ownership is minimized. |
Persistent Identifier | http://hdl.handle.net/10722/309365 |
ISSN | 2023 Impact Factor: 4.8 2023 SCImago Journal Rankings: 1.137 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Hwang, CY | - |
dc.contributor.author | Wong, KP | - |
dc.contributor.author | Yi, L | - |
dc.date.accessioned | 2021-12-29T02:14:04Z | - |
dc.date.available | 2021-12-29T02:14:04Z | - |
dc.date.issued | 2022 | - |
dc.identifier.citation | Pacific-Basin Finance Journal, 2022, v. 71, article no. 101698 | - |
dc.identifier.issn | 0927-538X | - |
dc.identifier.uri | http://hdl.handle.net/10722/309365 | - |
dc.description.abstract | This paper conducts 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 (the dispersion effect). We exploit exogenous variations in institutional ownership generated by the annual index reconstitution to address the endogeneity concern of institutional ownership. We find 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 the endogeneity bias of institutional ownership is minimized. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/pacfin | - |
dc.relation.ispartof | Pacific-Basin Finance Journal | - |
dc.subject | Dispersion effect | - |
dc.subject | Analyst incentives | - |
dc.subject | Short-sale constraint | - |
dc.subject | Institutional ownership | - |
dc.subject | Endogeneity | - |
dc.title | What Explains the Dispersion Effect? Evidence from Institutional Ownership | - |
dc.type | Article | - |
dc.identifier.email | Wong, KP: kpwongc@hkucc.hku.hk | - |
dc.identifier.authority | Wong, KP=rp01112 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.pacfin.2021.101698 | - |
dc.identifier.scopus | eid_2-s2.0-85122486855 | - |
dc.identifier.hkuros | 331237 | - |
dc.identifier.volume | 71 | - |
dc.identifier.spage | article no. 101698 | - |
dc.identifier.epage | article no. 101698 | - |
dc.identifier.isi | WOS:000882846200010 | - |
dc.publisher.place | Netherlands | - |