Common applications using optical chaos in a semiconductor laser include, among others, random number generation and chaos-encrypted communications. They rely on chaos of high dimension with a large bandwidth and a high entropy growth rate to achieve good results. Optical chaos from a semiconductor laser with conventional optical feedback (COF) is typically used as the primary source of chaos. Additional enhancing techniques are used to enlarge the chaos bandwidth. In this contribution, we show experimentally how using phase-conjugate feedback (PCF) can naturally produce a chaos of higher bandwidth than COF. PCF is an alternative to COF which consists of feeding the conjugate of the optical output back into the laser cavity, with a time-delay. Thanks to an oscilloscope with a fast sampling rate, and a large bandwidth, we were able to measure and observe the time-resolved frequency dynamics with a good precision. In the regime of low-frequency fluctuations (LFF), where dropouts of optical power occur randomly, we were able to compare the difference in dynamics before and after a dropout, for PCF and COF. In the range of attainable reflectivities, we measured a bandwidth increase of up to 27 % with PCF when compared to COF. Interestingly, we found that high-frequency dynamics are enabled before dropouts in PCF, where it was theoretically shown that the system jumps between destabilized self-pulsing states at harmonics of the external-cavity frequency, the so-called external-cavity modes (ECMs). This observation tends to confirm that ECMs in PCF are indeed fundamentally different than ECMs in COF, where they are simple steady-states. Finally, we believe that the enhancing techniques used with COF could also be used with PCF to obtain even wider chaotic bandwidths. These results could lead to studies about the dimension and the entropy growth rate of chaos from a laser diode with PCF.