學術研究

Testing Disagreement Models

日期 2020-12-15 (週二)
時間 02:30 PM
地點 Conference Room B110
主持人 Professor Yu-Chin Hsu
演講者 Professor Kevin Tseng (曾俊凱)
演講者簡介 Professor Tseng received his Ph.D. in Finance from Northwestern University in 2015. He is currently an Associate Professor at National Taiwan University. His research fields are Asset Pricing, Intangibles, Corporate Finance, and Innovation and entrepreneurship.
摘要 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 with no accompanying changes in company fundamentals, disclosure quality, or earnings management. The reduction in disagreement leads to lower stock price crash risk. The effect is more pronounced for stocks with binding short-sale constraints and high investor optimism. The reduction in disagreement is followed by higher returns. Our results provide evidence consistent with models of investor disagreement.