全球智库信息集成服务系统(G2TT): DP4806 Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns

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来源类型	Discussion paper
规范类型	论文
来源ID	DP4806
	DP4806 Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns
	Peter G Dunne; Harald Hau; Michael Moore
发表日期	2004-12-23
出版年	2004
语种	英语
摘要	We use a panel of more than 100,000 investor accounts in US stocks over the period 1991-95 to construct an investor-based measure of dispersion of opinion, unlike the analyst based measure used in the literature. We use this measure to test two competing hypotheses: the sidelined investors hypothesis and the uncertainty/asymmetric information hypothesis. We find evidence that supports the sidelined-investors hypothesis. We show that the dispersion of opinion of the investors in a stock is positively related to the contemporaneous returns and trading volume of the stock and negatively related to its future returns. Moreover, dispersion of opinion aggregates across many stocks and generates factors that have a market-wide effect, affecting the stock equilibrium rate of return and providing additional explanatory power in a standard asset-pricing model. This supports the interpretation of dispersion of opinion as a risk factor. We also show that dispersion of opinion among retail investors Granger causes dispersion of opinion among analysts.
主题	Financial Economics
关键词	Dispersion of opinion Asset prices Volatility
URL	https://cepr.org/publications/dp4806
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/533717
推荐引用方式 GB/T 7714	Peter G Dunne,Harald Hau,Michael Moore. DP4806 Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns. 2004.