Testing Disagreement Models

LIBRIS-ID:oai:hhs.se:1155043120006056
https://research.hhs.se/esploro/outputs/workingPaper/Testing-Disagreement-Models/991001480425606056URI

We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of EDGAR, which induces a reduction in investor disagreement with no accompanying changes in company fundamentals, disclosure quality, or earnings management. The reduction in disagreement leads to lower stock price crash risk. The effect is more pronounced for stocks with binding short-sale constraints and high investor optimism. The reduction in disagreement also leads to higher subsequent returns. Our results provide evidence consistent with models of investor disagreement.

Hsiao, Pei-JieNational Taiwan University (författare)
Ljungqvist, AlexanderStockholm School of Economics,Handelshögskolan i Stockholm(Swepub:hhs)4190@hhs.se (författare)
Tseng, KevinNational Taiwan University (författare)
Handelshögskolan i StockholmNational Taiwan University (creator_code:org_t)

Av författaren/redakt...: Chang, Yen-Cheng; Hsiao, Pei-Jie; Ljungqvist, Alex ...; Tseng, Kevin

Om ämnet

SAMHÄLLSVETENSKAP: SAMHÄLLSVETENSKA ...; och Ekonomi och näri ...; och Nationalekonomi

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