Testing Disagreement Models
نویسندگان
چکیده
We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits staggered implementation Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction disagreement. Consistent with models disagreement, EDGAR inclusion helps resolve around information events, leading to stock price corrections. The following also reduces crash risk, especially among stocks binding short-sale constraints high optimism.
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ژورنال
عنوان ژورنال: Journal of Finance
سال: 2022
ISSN: ['0022-1082', '1540-6261']
DOI: https://doi.org/10.1111/jofi.13137