Disagreement and return predictability of stock portfolios

• 成果类型: Article
• 署名作者: Yu, Jialin
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.08.004
• 发表日期: 2011
• 页码: 162-183
• 关键词: Disagreement; equity premium; Discount rate; VALUE PREMIUM

摘要

This paper provides evidence that portfolio disagreement measured bottom-up from individual-stock analyst forecast dispersions has a number of asset pricing implications. For the market portfolio, market disagreement mean-reverts and is negatively related to ex post expected market return. Contemporaneously, an increase in market disagreement manifests as a drop in discount rate. For book-to-market sorted portfolios, the value premium is stronger among high disagreement stocks. The underperformance by high disagreement stocks is stronger among growth stocks. Growth stocks are more sensitive to variations in disagreement relative to value stocks. These findings are consistent with asset pricing theory incorporating belief dispersion. (C) 2010 Elsevier Ltd All rights reserved.