Disagreement beta

• 成果类型: Article
• 署名作者: Gao, George P.; Lu, Xiaomeng; Song, Zhaogang; Yan, Hongjun
• 署名单位: Shanghai Jiao Tong University; Johns Hopkins University; DePaul University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.10.003
• 发表日期: 2019
• 页码: 96-113
• 关键词: Disagreement; heterogeneous beliefs; speculation; asset pricing

摘要

When two investors agree to disagree on market prospects and bet against each other, both expect to profit from their trades. Hence, an increase in disagreement leads to higher perceived trading profits and lower marginal utilities for both investors, so disagreement betas can affect cross-sectional asset returns. We construct a disagreement measure using professional forecasts of U.S. macroeconomic fundamentals. Betas with respect to this disagreement factor positively explain cross-sectional returns of stocks, corporate bonds, mortgage-backed securities, and government securities. Further tests using portfolio-based test assets confirm the significant pricing power of the disagreement factor on top of influential benchmark factors. (C) 2018 Elsevier B.V. All rights reserved.