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Building Better Measures of Analyst Disagreement Around Earnings: Implications for Disagreement, Trading Volume, and Returns

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Journal of Accounting, Auditing & Finance

Published online on

Abstract

Journal of Accounting, Auditing & Finance, Ahead of Print.
Current measures of analyst forecast dispersion have limited association with abnormal earnings announcement trading volume, contrary to the findings in Beaver (1968). One reason for this is that analysts increasingly forecast in the days immediately ...