Disagreement and the Stock Market

Keywords

Economics, Earnings, Stock (firearms), Predictability, Financial economics

References

• On the Impossibility of Informationally Efficient MarketsSanford J. Grossman — 1980
• Asset Float and Speculative BubblesHarrison Hong, José Scheinkman, Wei Xiong — 2006
• A survey of behavioral financeNicholas Barberis, Richard H. Thaler — 2002
• Alternative factor specifications, security characteristics, and the cross-section of expected stock returnsMichael J. Brennan, Tarun Chordia, Avanidhar Subrahmanyam — 1998
• Cross-Industry MomentumLior Menzly, Oguzhan Ozbas — 2006
• Speculative Investor Behavior in a Stock Market with Heterogeneous ExpectationsJ. Michael Harrison, David M. Kreps — 1978
• Investor Attention: Overconfidence and Category LearningLin Peng, Wei Xiong — 2006
• Hot Hands in Mutual Funds: Short‐Run Persistence of Relative Performance, 1974–1988Darryll Hendricks, Jayendu Patel, Richard Zeckhauser — 1993
• Differences of Opinion Make a Horse RaceMilton Harris, Artur Raviv — 1993
• Evidence that stock prices do not fully reflect the implications of current earnings for future earningsVictor L. Bernard, Jacob K. Thomas — 1990
• POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUMVictor L. Bernard, Jk Thomas — 1989
• Market Liquidity as a Sentiment IndicatorMalcolm Baker, Jeremy C. Stein — 2002
• Liquidity and stock returns: An alternative testVinay Datar, Narayan Y. Naik, Robert C. Radcliffe — 1998
• Continuous Auctions and Insider TradingAlbert S. Kyle — 1985
• Noise Trader Risk in Financial MarketsJ. Bradford De Long, Andrei Shleifer, Lawrence H. Summers — 1990
• Aggregate Short Interest and Market ValuationsOwen Lamont, Jeremy C. Stein — 2004
• Do industries lead stock marketsHarrison Hong, Walter N. Torous, Rossen Valkanov — 2007
• Differential Interpretation of Public Signals and Trade in Speculative MarketsEugene Kandel, Neil D. Pearson — 1995
• The Noise Trader Approach to FinanceAndrei Shleifer, Lawrence H. Summers — 1990
• Investor Psychology and Asset PricingDavid Hirshleifer — 2001

Cited by

• Vividness and Trading Behavior in an Experimental Asset MarketSudeep Ghosh, Tom Vinaimont — 2013
• Inflation Bets on the Long BondHarrison Hong, David Sraer, Jialin Yu — 2016
• Bubbles and asset supplyF. Geerolf — 2013
• Equity Issues, Market Timing, and Limits to ArbitrageBorja Larraín — 2008
• Heterogeneous Beliefs, a Short-Sale Restriction, and the Cross Section of Stock Returns: An Evidence from ChinaShin Ikeda, Yan Zhang — 2012
• Option markets : implied information, equity process and risk managementGildas Blanchard — 2015
• Essays in Behavioral FinanceXing Huang — 2013
• Disagreement and Stock Prices in the JASDAQ: An Empirical Investigation Using Market Survey DataTokuo Iwaisako — 2008
• Trading Volume Effects of Moving Average HeuristicsThomas Etheber — 2014
• Fundamental Analysis and Hedge Trading in a Disagreement ModelRussell J. Lundholm — 2008
• Institutional Trading and Asset PricingBart Frijns, Thanh Huynh, Alireza Tourani‐Rad — 2018
• The role of investor sentiment in asset pricingJerry C. Ho — 2012
• Does Ownership Breadth Predict Stock Returns? New Evidence from Market- Wide Holdings Data *James J. Choi, Jin Li, Hongjun Yan — 2009
• Trading on Noise: Moving Average Trading Heuristics and Private InvestorsThomas Etheber, Andreas Hackethal, Steffen Meyer — 2014
• Belief Dispersion, Dispersion of Belief Changes, and Trading Volume: Evidence from Surveys of Consumers and Professional ForecastersДан Ли, Geng Li — 2010
• Media Coverage and the Stock Price BubblesHoward H. Shyu — 2011
• Incentives and Matching of Heterogeneous Investors and Managers: Field Evidence from a Mutual Fund ScandalHenrich R. Greve, Hong Zhang — 2014
• Value versus glamour investing : a South African caseJustin Vincent Gaffney — 2010
• Differences of Opinion and the Price Volume RelationCostas Xiouros — 2010
• Bubbles in assets with finite lifeHenri Berestycki, Cameron Bruggeman, Régis Monneau — 2019

Related papers

• Is stock return predictability time-varying?Neluka Devpura, Paresh Kumar Narayan, Susan Sunila Sharma — 2018
• Modeling program predictabilityYiannakis Sazeides, James E. Smith — 1998
• Modeling program predictabilityY. Sazeides, J.E. Smith — 2002
• Modeling program predictabilityYiannakis Sazeides, James E. Smith — 1998
• Do Lunch or Be Lunch: The Power of Predictability in Creating Your FutureHoward H. Stevenson, Jeffrey L Cruikshank — 1997
• Beyond the Limits of Predictability in Human Mobility Prediction: Context-Transition PredictabilityChao Zhang, Kai Zhao, Meng Chen — 2023
• Regional contrasting DTR’s predictability over ChinaShu Fei Fu, Yu Huang, Tao Feng — 2019
• A Note on the Predictability of UK Stock ReturnsDavid Lovatt, Andrew Boswell, Reza Noor — 2007
• On the predictability of Chinese stock returnsXuanjuan Chen, Kenneth A. Kim, Tong Yao — 2010
• On China Stock Mania and Stock BubblesLiu Chang-li — 2007