Abstract
This paper investigates the relationships among cross-sectional stock returns and analysts’ forecast revisions, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22.7% per annum over the 1983-2015 periods. I find that the negative dispersion-return relationships are robust in 1983-2015 periods. Revision up and revision down betas account for most of the momentum strategy and over half of forecast dispersion strategy profits. Moreover, the sub-periods analysis of cross-sectional stock return demonstrates that market generally overreacts to revision in good times than to revision in bad times.
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