Disagreement on the Horizon *

63 Pages Posted: 11 Jul 2024

See all articles by J. Anthony Cookson

J. Anthony Cookson

University of Colorado at Boulder - Leeds School of Business

Chukwuma Dim

George Washington University

Marina Niessner

Indiana University - Kelley School of Business - Department of Finance

Date Written: July 03, 2024

Abstract

Using data from The Motley Fool's social prediction platform, CAPS, we find substantial differences in stock predictions across investment horizon. Short-horizon investors react more than twice as much as long-horizon investors to earnings surprises and technical view events. Around acquisition rumors, short-and long-horizon investors update in opposite directions about the target: short-term investors become more optimistic, while long-term investors become more pessimistic. Motivated by these findings, we develop a firm-day measure of horizon disagreement, spanning from 2006 to 2022, and find it relates significantly to abnormal trading. Additionally, the disagreement-trading relation strengthens on earnings announcement days, providing new evidence on the role of model disagreement.

Keywords: Social finance, social media, investment horizon, disagreement, trading

Suggested Citation

Cookson, J. Anthony and Dim, Chukwuma and Niessner, Marina, Disagreement on the Horizon * (July 03, 2024). Available at SSRN: https://ssrn.com/abstract=4884628 or http://dx.doi.org/10.2139/ssrn.4884628

J. Anthony Cookson (Contact Author)

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

Chukwuma Dim

George Washington University ( email )

2121 I Street NW
Washington, DC 20052
United States

Marina Niessner

Indiana University - Kelley School of Business - Department of Finance

1309 E. 10th St
Bloomington, IN 47405
United States

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