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Dispersion of opinion and stock returns
16 references·16 citing·31 second hopsampled
Dispersion of opinion and stock returns (2005)Dispersion of opinion and stock returnsInvestor Sentiment and the Cross-Section of Stock Returns (2003)Investor Sentiment and the Cr…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Toward an Implied Cost of Capital (2001)Toward an Implied Cost of Cap…Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Boys will be Boys: Gender, Ov…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …The investment behavior and performance of various investor types: a study of Finland's unique data set (2000)The investment behavior and p…Price Momentum and Trading Volume (2000)Price Momentum and Trading Vo…Do Investors Trade Too Much? (1999)Do Investors Trade Too Much?Liquidity and stock returns: An alternative test (1998)Liquidity and stock returns: …Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Political polarization in financial news (2024)Political polarization in fin…ESG Rating Dispersion and Expected Stock Return in China (2023)ESG Rating Dispersion and Exp…Individual investors' dispersion in beliefs and stock returns (2022)Individual investors' dispers…Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume (2021)Whose Disagreement Matters? H…The COVID-19 pandemic, volatility, and trading behavior in the bitcoin futures market (2021)The COVID-19 pandemic, volati…Disagreement about fundamentals: measurement and consequences (2021)Disagreement about fundamenta…Heterogeneous beliefs and return volatility around seasoned equity offerings (2020)Heterogeneous beliefs and ret…Disagreement in the Equity Options Market and Stock Returns (2019)Disagreement in the Equity Op…Information leakage, site visits, and crash risk: Evidence from China (2018)Information leakage, site vis…Disagreement, Underreaction, and Stock Returns (2016)Disagreement, Underreaction, …On Existence and Uniqueness of Equilibrium in a Class of Noisy Rational Expectations Models: Figure 1 (2015)On Existence and Uniqueness o…Small investor sentiment, differences of opinion and stock overvaluation (2014)Small investor sentiment, dif…Dispersion in beliefs among active mutual funds and the cross-section of stock returns (2014)Dispersion in beliefs among a…Asymmetric Information in Financial Markets: Anything Goes (2010)Asymmetric Information in Fin…Return dispersion and expected returns (2009)Return dispersion and expecte…The Sophisticated and the Simple: the Profitability of Contrarian Strategies (2008)The Sophisticated and the Sim…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Pricing of Options and Corporate Liabilities (1973)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)Judgment under Uncertainty: Heuristics and Biases (1974)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Who Gambles in the Stock Market? (2009)Judgment under Uncertainty: Heuristics and Biases (1975)Gender Differences in Preferences (2009)Women in the boardroom and their impact on governance and performance☆ (2009)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2001Boys will be Boys: Gender, Overconfidence, and Common Stock Investment5,215 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1999Do Investors Trade Too Much?2,245 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 2001Toward an Implied Cost of Capital2,004 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 2000The investment behavior and performance of various investor types: a study of Finland's unique data set1,639 cited
  • 2000Price Momentum and Trading Volume

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1,593 cited
  • 2003Investor Sentiment and the Cross-Section of Stock Returns1,456 cited
  • 1998Liquidity and stock returns: An alternative test1,318 cited
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    • 2010Asymmetric Information in Financial Markets: Anything Goes29 cited
    • 2023ESG Rating Dispersion and Expected Stock Return in China28 cited
    • 2008The Sophisticated and the Simple: the Profitability of Contrarian Strategies27 cited
    • 2021Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume25 cited
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