分析師盈餘預測的歧異度和公司股票橫斷面報酬的關係在現存的文獻裡反映著爭議性的矛盾。此篇研究使用分量迴歸模型分析時期囊括1983至2009年，取得美國上市櫃公司的縱橫斷面資料來試圖提出一種綜合說法解釋過去文獻之中的衝突現象。採用分量迴歸模型的優點在於相較傳統的迴歸模型，不但避免一些統計上的問題，而且隨著股票報酬各分量的變動完整提供解釋因子在不同分量下的影響。實證結果顯示，財務分析師預測公司未來盈餘的歧異程度，對於股價大幅上漲的公司有正向顯著的相關性主要為這些公司被擷取分析師樂觀預測看法的大多投資人所交易，然而對於股價大幅滑落的公司，負向顯著的相關性歸因於市場投資人大多改採納分析師悲觀預測的看法。簡言之，造成正負相關性顯著改變的背後起因，來自於公司股價報酬在不同的分量下，大部分的投資人如何看待分析師盈餘預測中樂觀和悲觀的看法。特別的是相較於傳統的迴歸模型，分量迴歸模型在股價報酬處於極端的情形下，提供較精確和及時的估計值資訊。

The controversial puzzles of relationship between dispersion on analysts’ earnings forecasts and cross section of stock returns presented in archival finance literatures. This study analyzes huge panel data of US firms listing through period of 1983-2009 by adopting the quantile regression (QR hereafter) approach to pave one way of explanation for this conflicting phenomenon. The QR system not only alleviates some statistical problem faced by traditional mean of conditional distribution, but also offers complete distributional information of changing factors effects across quantiles of stock returns. The empirical results demonstrate that dispersion on financial analyst’ forecast reveals significantly positive effects on firm stock prices with experiencing a hugely rising derived from the most investors view optimistic sides of analyst forecasts; in contrast, adverse effect with negative influence imposed on the stock they trade in large down in prices attribute to these stocks are dominated by more investors take pessimistic sides. This switch-shifting result depends on most market participants how to view the dispersion of analyst forecasts under different conditions of return quantile level. Notably, the most significantly effect on two tails of extreme indicates the more precise and efficient valuation than approach with mean of conditional distribution.

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