Abstract
Finance theory dictates that public information is incorporated in asset pricing expectations. Empirical research suggests that not all return forecasts are equal. Do different forecasts weigh information differently? This paper decomposes the information content of option and analyst forecasts. The results show that analyst forecasts are constructed using a wide-spectrum of market and firm-level data while option-based forecasts capture measures of uncertainty. Further, we revisit the question of whether analyst forecast dispersion is a proxy for uncertainty. We find a negative relationship between analyst disagreement and option-based forecasts, indicating that option traders view analyst disagreement as a source of uncertainty.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
