Disagreement in the Equity Options Market and Stock Returns

• 成果类型: Article
• 署名作者: Golez, Benjamin; Goyenko, Ruslan
• 署名单位: University of Notre Dame; McGill University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab078
• 发表日期: 2022
• 页码: 1443
• 关键词: cross-section; dispersion; opinion; RISK; INFORMATION; TRADE; expectations; uncertainty; divergence; investors

摘要

We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surprises. The negative effect is stronger for high-beta stocks and stocks that are more difficult to sell short. In the cross-section of all stocks and the subset of the 500 largest companies, high disagreement robustly predicts low monthly and weekly stock returns.