Are disagreements agreeable? Evidence from information aggregation

• Main Authors: HUANG, Dashan, LI, Jiangyuan, WANG, Liyao
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Disagreement; Market risk premium; Return predictability; Information aggregation; PLS; Machine learning; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6693; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7689/viewcontent/DisagreementsAgreeable_2021_sv.pdf
• Institution: Singapore Management University

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...