在眾多分析股票報酬的文獻中，甚少處理到「異質預期」的問題。當市場上存在著不同的預期時，代表著投資者的看法分歧，而看法的分歧程度將會影響股價的變化。因此本研究參考Baik及Park(2003)處理「預期差異程度」所設計的模型，以民國83年至民國92年在台灣證劵市場的上市公司為樣本，來分析「預期差異程度」對股票報酬的影響。研究發現「預期差異程度」對於解釋長期的股票報酬是有顯著的幫助，但是對於短期的股票報酬並無顯著的解釋力；公司規模則是對於短期的股票報酬是有顯著的解釋力，但是對於長期的股票報酬並無顯著的解釋能力；淨價市值比則對於長短期的股票報酬皆有顯著的影響。 In this study, we employ the model in Baik and Park(2003) to analyze the effect of dispersion of analysts’expectations on the cross-sectional stock returns.Empirical evidence is presented to show that the dispersion in analysts’ forecasts can explain part of the differences in cross-sectional stock returns. Generally, high dispersion stocks show relatively higher future returns than low dispersion stocks and the difference in performance is statistically significant in the long-term. There is significant positively relations between the size and stock returns in the short term. There is significant negatively relations between the book-to-market ratio and stock returns in the short term, but significant positively in the long term.
