Analyst forecast dispersion, trading volume, and stock return

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