Low coverage ForecastDispersion in January/December

[assetpricer]

Hi CZ,

I was going through the ForecastDispersion file that replicates Analyst Forecast Dispersion from Diether, Malloy and Scherbina. I noticed many missing dates for Decembers, Januarys and February (but bit lesser). Below I count the amount of rows for each month in the file:

In Diether's paper (table 1), it is mentioned that approx 3200 stocks are eligible in their sample in December 2000 already only

Could you please help me understand why the coverage in these months are so low?

[tomz23]

Good catch @assetpricer ! The low coverage is due to the following line in the code: keep if fpedats != . & fpedats > statpers + 30 This line effectively drops all earnings forecast in the one month before and the two months after a fiscal period end date. Since most firms have fiscal period ends at the end of December this affects mostly December, January and February.

The OP does not seem to have this filter, so I remove it from our replication as well. Coverage in terms of number of firms is then similar to OP:

[tomz23]

Fixed in https://github.com/OpenSourceAP/CrossSection/commit/b57ecb22252db46ab40ef0b0819082165e51e41b

[assetpricer]

Dear Tom, thank you so much for your response and the fix. Will the ForecastDispersion file in Google Drive be updated for the next update 😃?

[tomz23]

Yes, the signal will be updated with the next release (probably by the end of the month).