Publications
Detailed Information
Disagreement about fundamentals: measurement and consequences
Cited 1 time in
Web of Science
Cited 1 time in Scopus
- Authors
- Issue Date
- 2022-12
- Publisher
- Kluwer Academic Publishers
- Citation
- Review of Accounting Studies, Vol.27 No.4, pp.1423-1456
- Abstract
- We propose a measure of disagreement, which reflects differences of opinion as opposed to information asymmetry, that can be extracted from sequences of analyst forecasts. Using a Bayesian theoretical framework, we prove that when analysts agree, a regression of an analyst's forecast on the previous forecast issued by another analyst should have a slope coefficient of one. The magnitude of the estimated regression coefficient's deviation from one is then employed as a disagreement measure. We validate the measure using tests tied to predicted relations between disagreement and trading volume and bid-ask spreads. Finally, we employ our measure to test for associations between disagreement and expected returns predicted by antecedent theoretical studies.
- ISSN
- 1380-6653
- Files in This Item:
- There are no files associated with this item.
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.