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empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock … factor. Instead of an expected linear relationship, a nonlinear U-shape relationship between the AFD and excess returns is …
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I have used four measures that have had considerable success in predicting stock market declines of ten percent or more and average twenty-five percent. Other declines of 5-15% seem to be hard to predict ex ante, while some can be explained ex post. In this paper, I focus on six of the latter...
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In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return … predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic, agent … predictability …
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