Disagreement, Underreaction, and Stock Returns
Published Online:11 May 2016https://doi.org/10.1287/mnsc.2015.2405
References
- (2011) Discussion of “Why do EPS forecast error and dispersion not vary with scale? Implications for analyst and managerial behavior”. J. Accounting Res. 49:403–412.Crossref, Google Scholar
- (2011) Learning from prices and the dispersion in belief. Rev. Financial Stud. 24:3055–3068.Crossref, Google Scholar
- (1997) On persistence in mutual fund performance. J. Finance 52:57–82.Crossref, Google Scholar
- (2014) Disagreement and asset prices. J. Financial Econom. 114:226–238.Crossref, Google Scholar
- (2013a) The role of anchoring bias in the equity market: Evidence from analysts’ earnings forecasts and stock returns. J. Financial Quant. Anal. 48:47–76.Crossref, Google Scholar
- (2013b) Investor sentiment, disagreement, and breadth-return relationship. Management Sci. 59:1076–1091.Link, Google Scholar
- (1996) Momentum strategies. J. Finance 51:1681–1713.Crossref, Google Scholar
- (2012) Takeovers and divergence of investor opinion. Rev. Financial Stud. 25:227–277.Crossref, Google Scholar
- (2002) Breadth of ownership and stock return. J. Financial Econom. 66:171–205.Crossref, Google Scholar
- (2011) Why do EPS forecast error and dispersion not very with scale? Implications for analyst and managerial behavior. J. Accounting Res. 49:359–401.Crossref, Google Scholar
- (2002) Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. J. Financial Econom. 66:409–462.Crossref, Google Scholar
- (2006) Market reactions to tangible and intangible information. J. Finance 61:1605–1643.Crossref, Google Scholar
- (2009) Investor inattention and Friday earnings announcements. J. Finance 64:709–749.Crossref, Google Scholar
- (2002) Differences of opinion and the cross section of stock returns. J. Finance 57:2113–2141.Crossref, Google Scholar
- (1992) The cross-section of expected stock returns. J. Finance 46:427–466.Crossref, Google Scholar
- (1993) Common risk factors in the returns of stocks and bonds. J. Financial Econom. 33:3–56.Crossref, Google Scholar
- (2008) Average returns, B/M, and share issues. J. Finance 63:2971–2995.Crossref, Google Scholar
- (1973) Risk, return and equilibrium: Empirical tests. J. Political Econom. 51:55–84.Google Scholar
- (1980) Financial analysts’ forecast of earnings: The value to investors. J. Banking Finance 4:221–233.Crossref, Google Scholar
- (2003) Analyst forecast revisions and market price formation. Accounting Rev. 78:193–225.Crossref, Google Scholar
- (2005) Dispersion of opinion and stock returns. J. Financial Markets 8:325–350.Crossref, Google Scholar
- (1993) Differences of opinion make a horse race. Rev. Financial Stud. 6:473–506.Crossref, Google Scholar
- (1978) Speculative investor behavior in a stock market with heterogeneous expectations. Quart. J. Econom. 92:323–336.Crossref, Google Scholar
- (2003) Limited attention, information disclosure, and financial reporting. J. Accounting Econom. 36:337–386.Crossref, Google Scholar
- (2009) Driven to distraction: Extraneous events and underreaction to earnings news. J. Finance 64:2289–2325.Crossref, Google Scholar
- (2011) Limited investor attention and stock market misreactions to accounting information. Rev. Asset Pricing Stud. 1:35–73.Crossref, Google Scholar
- (2003) Differences of opinion, short-sales constraints and market crashes. Rev. Financial Stud. 16:487–525.Crossref, Google Scholar
- (2007) Disagreement and the stock market. J. Econom. Perspect. 21:109–128.Crossref, Google Scholar
- (1990) Evidence of predictable behavior of security returns. J. Finance 45:881–898.Crossref, Google Scholar
- (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48:65–92.Crossref, Google Scholar
- (2001) Profitability of momentum strategies: An evaluation of alternative explanations. J. Finance 56:699–720.Crossref, Google Scholar
- (2014) Dispersion in beliefs among active mutual funds and the cross-section of stock returns. J. Financial Econom. 114:341–365.Crossref, Google Scholar
- (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32:1151–1168.Crossref, Google Scholar
- (2007) How does diversity of opinion and information asymmetry affect acquirer returns? Rev. Financial Stud. 20:2047–2078.Crossref, Google Scholar
- (2005) Short sales, institutional investors and the cross-section of stock returns. J. Financial Econom. 78:277–309.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703–708.Crossref, Google Scholar
- (2007) Analyst disagreement, mispricing, and liquidity. J. Finance 62:2367–2403.Crossref, Google Scholar
- (2003) Overconfidence and speculative bubble. J. Political Econom. 111:1183–1219.Crossref, Google Scholar
- (2004) Analyst disagreement, forecast bias and stock returns. Working paper, Harvard Business School, Boston.Google Scholar
- (2008) Suppressed negative information and future underperformance. Rev. Finance 12:533–565.Crossref, Google Scholar
- (1996) Do stock prices fully reflect information in cash flows and accruals about future earnings? Accounting Rev. 71:289–315.Google Scholar
- (1991) Common stock returns surrounding earnings forecast revisions: More puzzling evidence. Accounting Rev. 66:402–416.Google Scholar
- (2006) Information uncertainty and stock returns. J. Finance 61:105–136.Crossref, Google Scholar

