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Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement

Journal of financial and quantitative analysis, 2019-08, Vol.54 (4), p.1791-1819 [Peer Reviewed Journal]

COPYRIGHT 2018, MICHAEL G. FOSTER SCHOOL OF BUSINESS, UNIVERSITY OF WASHINGTON ;Copyright University of Washington, School of Business Administration Aug 2019 ;Copyright © Michael G. Foster School of Business, University of Washington 2018 ;ISSN: 0022-1090 ;EISSN: 1756-6916 ;DOI: 10.1017/S0022109018001266

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  • Title:
    Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement
  • Author: Han, Bing ; Lu, Lei ; Zhou, Yi
  • Subjects: Bias ; Density ; Disputes ; Dividends ; Earnings per share ; Equilibrium ; Hypotheses ; Investment ; Investments ; Investors ; Prices ; Quantitative analysis ; Spillovers ; Stock exchanges ; Stocks ; Trees ; Volatility
  • Is Part Of: Journal of financial and quantitative analysis, 2019-08, Vol.54 (4), p.1791-1819
  • Description: In a model where investors disagree about the fundamentals of two stocks, the state-price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks owned by these investors. The pricing effects of investor disagreements crucially depend on the average belief biases. Empirical findings support the novel model prediction of a disagreement spillover effect and help reconcile some mixed evidence in the literature.
  • Publisher: Seattle: Cambridge University Press
  • Language: English
  • Identifier: ISSN: 0022-1090
    EISSN: 1756-6916
    DOI: 10.1017/S0022109018001266
  • Source: ProQuest Central
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