haku: @all credit rating / yhteensä: 119
viite: 8 / 119
Tekijä:Avramov, D. (et al.)
Otsikko:Dispersion in analysts' earnings forecasts and credit rating
Lehti:Journal of Financial Economics
2009 : JAN, VOL. 91:1, p. 83-101
Asiasana:finance
assets
pricing
credit rating
earnings
forecasting
companies
Kieli:eng
Tiivistelmä:It is shown in this paper that the puzzling negative cross-sectional relation btw. dispersion in analysts' earnings forecasts and future stock returns may be explained by financial distress. Focusing on a sample of firms rated by Standard & Poor's (S&P), it is shown that the profitability of dispersion-based trading strategies concentrates in a small number of the worst-rated firms, being significant only during periods of deteriorating credit conditions etc. The results are robust to previously proposed explanations for the dispersion effect, e.g. short-sale constraints and leverage.
SCIMA tietueen numero: 271434
lisää koriin
SCIMA