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Analyst forecast dispersion, trading volume, and stock return
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- Authors
- Issue Date
- 2009-04
- Citation
- Seoul Journal of Economics, Vol.22 No.2, pp. 263-287
- Keywords
- Analyst forecast dispersion ; Trading volume ; Disposition effect
- Abstract
- We examine the relationship between opinion divergence among
analysts, trading volume, and stock returns around earnings
announcements. We find that the positive relation between volume
and subsequent returns is stronger among stocks with lower
dispersion in analysts earnings estimates. We show that the high
-volume stocks with low opinion divergence also have good past
performance, suggesting that the selling pressure from investors
with disposition effect may be the cause for the positive volumereturn
relationship.
- ISSN
- 1225-0279
- Language
- English
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