Testing Disagreement Models

Testing Disagreement Models

ABSTRACT We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction in investor disagreement. Consist...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:The Journal of finance (New York) 2022-08, Vol.77 (4), p.2239-2285
Hauptverfasser: CHANG, YEN‐CHENG, HSIAO, PEI‐JIE, LJUNGQVIST, ALEXANDER, TSENG, KEVIN
Format: Artikel
Sprache:eng
Schlagworte:
1993-1995
Anlageverhalten
Asset management
Asset pricing
Börsendienst
CAPM
Dauer
Disputes
Einführung
Finanzkrise
Optimism
Pricing policies
Retrieval
Risk reduction
Shareholder relations
Stock prices
USA
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:ABSTRACT We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction in investor disagreement. Consistent with models of investor disagreement, EDGAR inclusion helps resolve disagreement around information events, leading to stock price corrections. The reduction in disagreement following EDGAR inclusion also reduces stock price crash risk, especially among stocks with binding short‐sale constraints and high investor optimism.
ISSN:0022-1082
1540-6261
1540-6261
DOI:10.1111/jofi.13137