报告题目：What Drives the Dispersion Anomaly?
主讲人：卢太用 （Tai-Yong Roh），辽宁大学经济研究院助理教授，韩国科学技术院 （KAIST）博士
论文摘要：This paper shows that the stock return predictability of analysts’ earnings forecast dispersion is driven by the information content of dispersion about future firm profitability. Greater dispersion predicts lower future profitability, and the return predictability of dispersion disappears after controlling for future profitability. We propose disclosure manipulation as an explanation for the relation between dispersion and future profitability. Disclosure quality is inversely related to forecast dispersion. Moreover, the return predictability of dispersion decreases in disclosure quality, and is no longer significant in the post-Sarbanes-Oxley period. Our results are robust to consideration of previously suggested explanations for the dispersion anomaly.