Journal of Finance Vol. 77 No. 4 2022

Testing Disagreement Models

Yen-Cheng Chang¹; PEI-JIE HSIAO; Alexander Ljungqvist; Kevin Tseng²

¹ e-mail: [email protected] · ² National Ilan University

Abstract

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.

DOI

10.1111/jofi.13137

Volume

77

Issue

4

Pages

2239-2285

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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