Are disagreements agreeable? Evidence from information aggregation

Are disagreements agreeable? Evidence from information aggregation

Most studies on disagreement focus on cross-sectional asset returns and well-recognized disagreement measures generally cannot predict the stock market with a horizon less than 12 months. This paper proposes three aggregate disagreement indexes by aggregating information across 20 disagreement measu...

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Bibliographic Details
Main Authors: HUANG, Dashan, LI, Jiangyuan, WANG, Liyao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Disagreement
Market risk premium
Predictability
Information aggregation
PLS
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6469
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7468/viewcontent/SSRN_id3077938.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/6469
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7468/viewcontent/SSRN_id3077938.pdf

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