Previous researches focus on examining only the relation between cross-sectional earnings forecast dispersion and stock returns and on providing explanations for the negative dispersionreturn relation. This paper attempts to examine how time-series mean forecast dispersion is distinct in the relation to stock returns from the cross-sectional forecast dispersion effect. We find that contrary to the standard analyst dispersion effect, there is a strong positive relation between time-series mean forecast dispersion and stock returns. We also find that time-series mean forecast dispersion apparently contains systematic risk components and that such risk is priced in stock returns.