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Shuang Liu

Shuang Liu

MSc UBhm
PhD Candidate

The University of Sydney
NSW 2006 Australia


Shuang Liu is an awardee of the University of Sydney International Research Scholarship and Business School top-up Scholarship. He received his Bachelor degree at Huazhong University of Science and Technology in China, and his Master by research degree in University of Birmingham in the UK. He also has computer programming skills and won the first prize in the National Olympiad in Informatics in Provinces. He has one-year tutoring experience at the University of Birmingham (UK) and one-year teaching experience in English at an International high school in Beijing.

Thesis working title

Analyst Forecast Dispersion and Market Return Predictability: Does Conditional Equity Premium Play a Role?

This paper studies the dispersion effect documented in Yu (2011) that aggregate analyst forecast dispersion negatively predicts future market returns. Using the U.S. data from 1981 to 2014, we find that the market return predictive power of aggregate dispersion only exists prior to 2005. The dispersion-return relation is partly driven by its correlation with conditional equity premium. In the sub-period analyses, we find that the impact of investor sentiment on dispersion effect is also significant only prior to 2005. The dispersion effect significantly weakens after the global financial crisis, and this is not driven by the changes in investor sentiment. Contrary to what Miller (1977) predicts, we do not find the short-sale constrained stocks experience higher dispersion effect.

Supervisors: Buhui Qiu, Juan Yao, Byoung-Kyu Min