The Dynamics of Disagreement

• 成果类型: Article
• 署名作者: Daniel, Kent; Klos, Alexander; Rottke, Simon
• 署名单位: Columbia University; National Bureau of Economic Research; University of Kiel; University of Amsterdam
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac075
• 发表日期: 2023
• 页码: 2431
• 关键词: cross-section; stock-market; SHORT-SALES; heterogeneous beliefs; career concerns; SHORT SELLERS; momentum; return; constraints; INFORMATION

摘要

In this paper, we infer how the estimates of firm value by optimists and pessimists evolve in response to information shocks. Specifically, we examine returns and disagreement measures for portfolios of short-sale-constrained stocks that have experienced large gains or large losses. Our analysis suggests the presence of two groups, one of which overreacts to new information and remains biased over about 5 years, and a second group, which underreacts and whose expectations are unbiased after about 1 year. Our results have implications for the belief dynamics that underlie the momentum and long-term reversal effect.