Analyst forecast dispersion, trading volume, and stock return

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.