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March 18, 2026The Accounting Review

Volume of Trading and the Dispersion in Financial Analysts' Earnings Forecasts.

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Authors

BABipin B. AjinkyaRARowland K. AtiaseMGMichael J. Gift

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Overview

Shows a positive relationship between trading volume and forecast dispersion, indicating the role of differing beliefs in financial markets.

Key Points

  • The research aims to evaluate the relationship between trading volume and the dispersion of financial analysts' earnings forecasts.
  • Empirical analysis using a sample of 420 firms from 1978 to 1981.
  • Monthly observations totaling 16,747 over four years.
  • Generalized least squares (GLS) and ordinary least squares (OLS) estimation techniques applied.
  • A significant positive association between forecast dispersion and trading volume was found.
  • The results remained stable even after controlling for mean forecast revisions.
  • Heterogeneity in beliefs among analysts is confirmed as a determinant of trading intensity.

Cite This Study

Ajinkya et al. (1991) studied this question.

synapsesocial.com/papers/69ba43384e9516ffd37a44dehttps://doi.org/10.2308/tar-9605070388
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Also Consider

Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context:

  1. 1Building Better Measures of Analyst Disagreement Around Earnings: Implications for Disagreement, Trading Volume, and Returns2025
  2. 2Trading Volume and Belief Revisions That Differ Among Individual Analysts.1995
  3. 3Trading Volume and Different Aspects of Disagreement Coincident with Earnings Announcements.1997 · 220 citations
  4. 4The Association Between Consensus of Beliefs and Trading Activity Surrounding Earnings Announcements.1990
  5. 5Analysts' Forecasts, Earnings, Variability, and Option Pricing: Empirical Evidence.1988 · 1 citations