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Analyst forecast dispersion, trading volume, and stock return

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Authors
Choi, Wonseok; Hoyem, Kenton; Kim, Jung-Wook
Issue Date
2009-04
Publisher
Institute of Economic Research, Seoul National University
Citation
Seoul Journal of Economics, Vol.22 No.2, pp. 263-287
Keywords
Analyst forecast dispersionTrading volumeDisposition 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
URI
http://hdl.handle.net/10371/67705
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.22 no.1/4 (2009)
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