Forecast dispersion and error versus size, book-to-market ratio and momentum: A comparison of anomalies from 1992 to 2001

Abstract

Anomalies based on forecast properties (dispersion and error), size, book-to-market ratio and momentum are evaluated during the period 1992–2001 for a sample of US stocks using an annual buy-and-hold strategy. The forecast property, book-to-market and momentum anomalies all clearly persist during the sample period, while the size anomaly disappears. Although the book-to-market anomaly is the most powerful in magnitude, the forecast property anomalies are the most consistent in year-by-year performance. Combining the forecast property anomalies with either the momentum or book-to-market anomalies results in spectacular return performance. Overall, investors should consider taking advantage of the forecast property anomalies when selecting their stock holdings.