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Seoul Journal of Economics - Vol. 22 , No. 2
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[ Article ]
Seoul Journal of Economics - Vol. 22, No. 2, pp. 263-287
Abbreviation: SJE
ISSN: 1225-0279 (Print)
Print publication date 31 May 2009
Received 27 Apr 2009 Revised 03 May 2009

Analyst Forecast Dispersion, Trading Volume, and Stock Return
Wonseok Choi ; Kenton Hoyem ; Jung-Wook Kim
Vice President, JPMorgan Asset Management, 245 Park Avenue, 4th Floor, New York, 10167, USA, Tel: +212-648-0803 (wonseok.x.choi@jpmorgan.com)
Research Associate, Financial Engines, 1804 Embarcadero Drive, Palo Alto, California, 94303, USA, Tel: +650-565-2181, Fax: +650-565-2140 (khoyem@financialengines.com)
Assistant Professor, Department of Finance and Management Science, School of Business, University of Alberta, Edmonton, Alberta, T6G 2R6, Canada, Tel: +780-492-7987, Fax: +780-492-3325 (jungwook.kim@ualberta.ca)

JEL Classification: G1, G12, G14

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.

Keywords: Analyst forecast dispersion, Trading volume, Disposition effect
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