Are disagreements agreeable? Evidence from information aggregation
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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2021
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |