Three essays on financial economics
Disagreement measures are known to predict cross-sectional stock returns but fail to predict market returns. This paper proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and shows that this index significantly predicts market retur...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2020
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| Online Access: | https://ink.library.smu.edu.sg/etd_coll/283 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1282&context=etd_coll |
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| Institution: | Singapore Management University |
| Language: | English |