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Quantitative Finance · Glossary

What is Analyst revision, forecast dispersion?

Also known as: analyst revision · forecast dispersion

Definition 11.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 11 — Fundamental, Analyst and Event Features

An analyst revision is a change in an analyst’s forecast or recommendation for a security; as a feature, the change in the consensus forecast over a window, scaled by price or by the forecasts’ dispersion. Forecast dispersion is the cross-analyst standard deviation of the current forecasts divided by the absolute value of their mean.

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