| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14677 |
| DP14677 Testing Disagreement Models | |
| Yen-Cheng Chang; Pei-Jie Hsiao; Alexander Ljungqvist; Kevin Tseng | |
| 发表日期 | 2020-04-29 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp14677 |
| 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/543594 |
| 推荐引用方式 GB/T 7714 | Yen-Cheng Chang,Pei-Jie Hsiao,Alexander Ljungqvist,et al. DP14677 Testing Disagreement Models. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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