how a simple equal-weighted combination of the constrained forecasts leads to further improvements in forecast accuracy …

We forecast quarterly US stock returns using eighteen predictor variables both individually and in multivariate … regressions, with the former also used in forecast combinations. Using rolling and recursive approaches, we consider a range of … statistical and economic evaluation measures. We consider linear and non-linear regressions as well as forecast evaluations over …

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 …

range of forecast performance measures and consider single model and combined forecasts. The results show that, with one …

construct a proxy of the adjustment factor using the sequence of dispersion of analysts earnings forecast. We provide empirical …