EPS Forecast Dispersion
⚠ weakenedForecastDispersionRisk· Analyst data
Keep fpi = 1 and fpedats > statpers + 30. Standard deviation of earnings estimates (stdev\_est) scaled by mean earnings estimate.
IS Sharpe (1976–2001)
0.601
+8.1% p.a.
OOS Sharpe (2002–2024)
0.318
+4.8% p.a.
Sharpe decay
+47.1%
(IS − OOS) / |IS|
IS vol
13.5%
annualized
Cumulative return (last 40 years, monthly)
+1099%1984-012024-12
Publication details
AuthorsDiether, Malloy and Scherbina
PaperDiether, Malloy and Scherbina (2002)
JournalJournal of Finance
Publication year2002
Original sample1976–2000
IS T-statistic2.88
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Return skewness+0.47Market+0.44Idiosyncratic skewness (3F model)+0.39Coskewness using daily returns+0.30Coskewness+0.28Systematic volatility+0.22
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