Testing Disagreement Models

72 Pages Posted: 8 May 2020 Last revised: 22 Sep 2021

See all articles by Yen-Cheng Chang

Yen-Cheng Chang

National Taiwan University - Department of Finance; National Taiwan University - Center for Research in Econometric Theory and Applications

Pei-Jie Hsiao

National Taiwan University

Alexander Ljungqvist

Centre for Economic Policy Research (CEPR); Swedish House of Finance; European Corporate Governance Institute (ECGI)

Kevin Tseng

The Chinese University of Hong Kong (CUHK) - CUHK Business School; National Taiwan University - Department of Finance; National Taiwan University - Center for Research in Econometric Theory and Applications

Multiple version iconThere are 2 versions of this paper

Date Written: April 2020

Abstract

We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of EDGAR, which induces a reduction in investor disagreement. Consistent with models of investor disagreement, EDGAR inclusion helps resolve disagreement around information events, leading to stock price corrections. The reduction in disagreement following EDGAR inclusion also reduces stock price crash risk, especially among stocks with binding short-sale constraints and high investor optimism.

Suggested Citation

Chang, Yen-Cheng and Hsiao, Pei-Jie and Ljungqvist, Alexander and Ljungqvist, Alexander and Tseng, Kevin, Testing Disagreement Models (April 2020). CEPR Discussion Paper No. DP14677, Available at SSRN: https://ssrn.com/abstract=3594310

Yen-Cheng Chang (Contact Author)

National Taiwan University - Department of Finance ( email )

1, Sec. 4, Roosevelt Road
Taipei, 106
Taiwan

National Taiwan University - Center for Research in Econometric Theory and Applications ( email )

1, Sec. 4, Roosevelt Road
Taipei, 106
Taiwan

Pei-Jie Hsiao

National Taiwan University ( email )

1 Sec. 4, Roosevelt Road
Taipei 106, 106
Taiwan

Alexander Ljungqvist

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Swedish House of Finance ( email )

Drottninggatan 98
111 60 Stockholm
Sweden

European Corporate Governance Institute (ECGI)

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Kevin Tseng

The Chinese University of Hong Kong (CUHK) - CUHK Business School ( email )

Cheng Yu Tung Building
12 Chak Cheung Street
Shatin, N.T.
Hong Kong

National Taiwan University - Department of Finance ( email )

1, Sec. 4, Roosevelt Road
Taipei, 106
Taiwan

National Taiwan University - Center for Research in Econometric Theory and Applications ( email )

1 Sec. 4, Roosevelt Road
Taipei 106, 106
Taiwan

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
0
Abstract Views
775
PlumX Metrics