New evidence on the effect of belief heterogeneity on stock returns

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• 作者：Jeffrey Hobbs ; Hei Wai Lee ; Vivek Singh
• 关键词：Institutional investors ; Divergence of opinion ; Sidelined investors ; Shorting constraints ; Information asymmetry ; Unbiased prices
• 刊名：Review of Quantitative Finance and Accounting
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：48
• 期：2
• 页码：289-309
• 全文大小：
• 刊物类别：Business and Economics
• 刊物主题：Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory;
• 出版者：Springer US
• ISSN：1573-7179
• 卷排序：48

文摘

We develop a new measure to examine the effect of the heterogeneity of beliefs among investors on stock returns. Our initial results do not support the information asymmetry hypothesis or the sidelined investor hypothesis (and thus are consistent with the unbiased prices hypothesis). However, since the first two hypotheses make opposite predictions regarding stock returns, they may both have merit but offset one another. Further analysis suggests that this is indeed the case. Overall, our results support both the information asymmetry and sidelined investor hypotheses and thus occupy middle ground in the debate on the effect of disagreement on stock returns.