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The Dynamics of Disagreement / Kent Daniel, Alexander Klos, Simon Rottke.
- Format:
- Book
- Author/Creator:
- Daniel, Kent.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w25346.
- NBER working paper series no. w25346
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2018.
- Summary:
- We infer how the estimates of firm value by "optimists" and "pessimists" evolve in response to information shocks by examining returns and disagreement measures for portfolios of short-sale constrained stocks which have experienced large gains or large losses. Our analysis suggests the presence of two groups, one of which overreacts to new information and remains biased over about five years, and a second group which underreacts and whose expectations are unbiased after about one year. Our results have implications for the belief dynamics that underly the momentum and long-term reversal effect.
- Notes:
- Print version record
- December 2018.
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