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Samia Badidi

Tilburg University

Forecast Dispersion and the Price Impact of Macroeconomic News

Date: Friday, January 30, 2026
Time: 11:30 am - 1:00 pm
Location: Bronfman building, Room 340

All are cordially invited to attend.

Abstract

A large literature in macro-finance examines how financial markets respond to macroeconomic news, yet little is known about how the composition of the forecaster pool shapes these responses. Using data on 25 major U.S. macroeconomic announcements, I document that forecast dispersion has a strong negative effect on market reactions, challenging the conventional interpretation of dispersion as a proxy for uncertainty. To reconcile this puzzle, I develop a noisy rational expectations model in which dispersion reflects analyst heterogeneity, with its informational content depending on the share of experienced analysts. When experienced analysts dominate, low dispersion indicates precise pre-announcement information, reducing the announcement鈥檚 price impact. Conversely, when inexperienced analysts dominate, low dispersion reflects shrinkage toward noisy common information, increasing price impact. Using lagged analyst experience as an instrument, I confirm that the relationship between dispersion and price impact switches sign depending on the share of experienced analysts. These findings reveal an important channel through which analyst heterogeneity affects price discovery.