本研究利用分析師預測盈餘歧異度做為市場意見不同之代理變數，欲探討在資訊不對稱程度差異下，市場意見不同之報酬、成交量和波動性之影響。學術論文中，探討意見不同對報酬、成交量和波動度之影響由來已久，而許多文獻則指出資訊不對稱是造成市場意見不同之主因，因此，本研究利用資訊不對稱的分組標準，並以GJR-GARCH模型分析意見不同對報酬、成氏量和波動性之影響。研究結果發現，在各投資組合中，高帳面價值對市場價值比、低價股、小型公司和上市期間較短之分析結果僅當期時符合預期，即當期意見不同對當期報酬和成交量之影響為正向顯著，然而前期意見不同對當期報酬和成交量之影響雖各為正向關係和負向關係，但並不顯著；而在波動性方面，意見不同對波動並無顯著解釋能力。

This paper uses the dispersion of analyst forecast earnings as the proxy variable for the differences of opinion in the market, and wants to study the impact of the differences of opinion on stock returns, trading volume, and volatility in the situation which the degrees of information asymmetry differentiate. In academic papers, the history is long-standing for studying on the impact of the differences of opinion on stock returns, trading volume, and volatility; on the other hand, many papers indicates that the information asymmetry is the major cause which causes the differences of opinion. For the reason, this paper uses the degrees of information asymmetry as the assigned standard to construct portfolios, and applies the GJR-GARCH model to analyze the impact of the differences of opinion on the returns, trading volume, and volatility. The empirical result shows that in each portfolio, the impact of current differences of opinion on current returns and trading volume is significantly positive for high book-to-market ratio firms, low-priced stocks, small firms, and the firms with shorter go- public time, while the impact of prior differences of opinion on current returns is negative but positive on current trading volume, neither significantly. As to the impact on volatility, the differences of opinion could not demonstrate the relation.

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