New Evidence On The Effect Of Belief Heterogeneity On Stock Returns
- ASU Author/Contributor (non-ASU co-authors, if there are any, appear on document)
- Jeffrey Hobbs PhD, Professor (Creator)
- Institution
- Appalachian State University (ASU )
- Web Site: https://library.appstate.edu/
Abstract: 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.
New Evidence On The Effect Of Belief Heterogeneity On Stock Returns
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Created on 10/18/2018
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Additional Information
- Publication
- Hobbs, J., Lee, H.W. & Singh, V. Rev Quant Finan Acc (2017) 48: 289. https://doi.org/10.1007/s11156-016-0551-7. Publisher version of record available at: https://link.springer.com/article/10.1007/s11156-016-0551-7
- Language: English
- Date: 2017
- Keywords
- Institutional investors, Divergence of opinion, Sidelined investors, Shorting constraints, Information asymmetry, Unbiased prices