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Differential information, divergence of opinion, and security returns in an efficient market

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dc.contributor.authorBolster, Paul J.en
dc.contributor.committeechairPinkerton, John M.en
dc.contributor.committeememberHansen, Robert S.en
dc.contributor.committeememberKeown, Arthur J.en
dc.contributor.committeememberShome, Dilip K.en
dc.contributor.committeememberTaylor, Bernard W. IIIen
dc.contributor.departmentGeneral Businessen
dc.date.accessioned2015-07-28T19:21:11Zen
dc.date.available2015-07-28T19:21:11Zen
dc.date.issued1985en
dc.description.abstractAlthough there is ample evidence of the heterogeneity of investors' expectations of security returns (Cragg and Malkiel, 1982), few studies have attempted to relate this divergence of investor opinion directly to security returns. Barry and Brown (1984) argue that divergence of investor opinion results from differing levels of estimation risk across securities. Furthermore, their model shows that the OLS estimate of beta, used in most empirical studies requiring excess returns, underadjusts for a security's systematic risk when investors' expectations are highly dispersed and overadjusts when such divergence of opinion is low. This hypothesis is tested in the present study using various measures of divergence of analysts‘ forecasts of earnings per share for individual firms. The results of exhaustive data analysis strongly reject the notion of such a bias in the OLS derived excess returns or in actual returns. Market reaction to revisions in the mean and standard deviation of analysts' firm-specific forecasts of earnings per share is also examined. Security prices do not appear to react in a systematic manner to revisions in the standard deviation of analysts' forecasts. However, there is evidence of a reaction to revisions in the mean of such forecasts both before and after the publication of this information suggesting that new information is contained in consensus forecasts of earnings per share when released to subscribers.en
dc.description.degreePh. D.en
dc.format.extentx, 153 leavesen
dc.format.mimetypeapplication/pdfen
dc.identifier.urihttp://hdl.handle.net/10919/54738en
dc.language.isoen_USen
dc.publisherVirginia Polytechnic Institute and State Universityen
dc.relation.isformatofOCLC# 13194394en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subject.lccLD5655.V856 1985.B648en
dc.subject.lcshStock exchangesen
dc.subject.lcshFinancial statementsen
dc.subject.lcshCapitalists and financiersen
dc.subject.lcshInvestmentsen
dc.titleDifferential information, divergence of opinion, and security returns in an efficient marketen
dc.typeDissertationen
dc.type.dcmitypeTexten
thesis.degree.disciplineGeneral Businessen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.leveldoctoralen
thesis.degree.namePh. D.en

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