predictability, popular predictors from the literature fail to outperform the simple historical average benchmark forecast in out … model restrictions, forecast combination, diffusion indices, and regime shifts—improve forecasting performance by addressing …

We show that understanding the role of analysts' forecast bias is central to discovering the behavior that causes some … stocks to have high analyst forecast dispersion. This finding is important because stocks with high analyst forecast … dispersion contribute significantly to many important anomalies. We first explain how forecast bias produces significant negative …