Testing Disagreement Models

• 成果类型: Article
• 署名作者: Chang, Yen-cheng; Hsiao, Pei-jie; Ljungqvist, Alexander; Tseng, Kevin
• 署名单位: National Taiwan University; National Taiwan University; Research Institute of Industrial Economics (IFN); Stockholm School of Economics; Swedish House of Finance; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13137
• 发表日期: 2022
• 页码: 2239-2285
• 关键词: SPECULATIVE INVESTOR BEHAVIOR; conditional skewness; trading volume; cross-section; SHORT-SALES; ANALYST; MARKET; price; INFORMATION; liquidity

摘要

We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction in investor disagreement. Consistent with models of investor disagreement, EDGAR inclusion helps resolve disagreement around information events, leading to stock price corrections. The reduction in disagreement following EDGAR inclusion also reduces stock price crash risk, especially among stocks with binding short-sale constraints and high investor optimism.