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Belief Dispersion in the Stock Market

Citations

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Cited by:

  1. Chen, Tao, 2020. "Does news affect disagreement in global markets?," Journal of Business Research, Elsevier, vol. 109(C), pages 174-183.
  2. Liu, Hao & Zhang, Qun, 2021. "Firm age and realized idiosyncratic return volatility in China: The role of short-sales constraints," International Review of Financial Analysis, Elsevier, vol. 75(C).
  3. Chen, An & Nguyen, Thai & Rach, Manuel, 2021. "Optimal collective investment: The impact of sharing rules, management fees and guarantees," Journal of Banking & Finance, Elsevier, vol. 123(C).
  4. Wang, Jianqiu & Wu, Ke & Pan, Jiening & Jiang, Ying, 2023. "Disagreement, speculation, and the idiosyncratic volatility," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 232-250.
  5. Alexander Zimper, 2023. "Belief aggregation for representative agent models," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(2), pages 309-342, June.
  6. Chabakauri, Georgy & Han, Brandon Yueyang, 2020. "Collateral constraints and asset prices," Journal of Financial Economics, Elsevier, vol. 138(3), pages 754-776.
  7. Sheng, Jiliang & Xu, Si & An, Yunbi & Yang, Jun, 2022. "Dynamic asset pricing in delegated investment: An investigation from the perspective of heterogeneous beliefs of institutional and retail investors," Economic Modelling, Elsevier, vol. 107(C).
  8. Zohar, Osnat, 2024. "Cyclicality of uncertainty and disagreement," Journal of Monetary Economics, Elsevier, vol. 143(C).
  9. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
  10. Alistair Macaulay & Wenting Song, 2022. "Narrative-Driven Fluctuations in Sentiment: Evidence Linking Traditional and Social Media," Economics Series Working Papers 973, University of Oxford, Department of Economics.
  11. Gabor Pinter & Chaojun Wang & Junyuan Zou, 2024. "Size Discount and Size Penalty: Trading Costs in Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2156-2190.
  12. Milo Bianchi & Rose-Anne Dana & Elyès Jouini, 2022. "Equilibrium CEO contract with belief heterogeneity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 505-546, September.
  13. Louis RAFFESTIN, 2021. "Uncertainty as a vector of financial contagion: how does it work, and how much does it matter?," LEO Working Papers / DR LEO 2881, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  14. Adem Atmaz & Huseyin Gulen & Stefano Cassella & Fangcheng Ruan, 2024. "Contrarians, Extrapolators, and Stock Market Momentum and Reversal," Management Science, INFORMS, vol. 70(9), pages 5949-5984, September.
  15. Wang, Hailong & Hu, Duni, 2022. "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  16. Li Guo & Wolfgang Karl Härdle & Yubo Tao, 2024. "A Time-Varying Network for Cryptocurrencies," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 437-456, April.
  17. Borochin, Paul & Zhao, Yanhui, 2019. "Belief heterogeneity in the option markets and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
  18. Diogo Silva & António Cerqueira, 2021. "Financial Reporting Quality and Investors' Divergence of Opinion†," Accounting Perspectives, John Wiley & Sons, vol. 20(1), pages 79-107, March.
  19. Luo, Di & Farag, Hisham, 2024. "ESG and aggregate disagreement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
  20. Nicholas Apergis & Ioannis Chatziantoniou, 2022. "US partisan conflict shocks and international stock market returns," Empirical Economics, Springer, vol. 63(6), pages 2817-2854, December.
  21. Wang, Hailong & Hu, Duni, 2021. "Heterogeneous beliefs with herding behaviors and asset pricing in two goods world," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  22. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Tuneshev, Ruslan, 2018. "Differences in options investors’ expectations and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 315-336.
  23. Nicolas S. Magner & Nicolás Hardy & Tiago Ferreira & Jaime F. Lavin, 2023. "“Agree to Disagree”: Forecasting Stock Market Implied Volatility Using Financial Report Tone Disagreement Analysis," Mathematics, MDPI, vol. 11(7), pages 1-16, March.
  24. Gao, Shenghao & Brockman, Paul & Meng, Qingbin & Yan, Xuemin, 2020. "Differences of opinion, institutional bids, and IPO underpricing," Journal of Corporate Finance, Elsevier, vol. 60(C).
  25. Qiuyun Wang & Lu Liu, 2022. "Pandemic or panic? A firm-level study on the psychological and industrial impacts of COVID-19 on the Chinese stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
  26. Olivier David Zerbib, 2022. "A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Environmental Integration and Sin Stock Exclusion [Asset pricing with liquidity risk]," Review of Finance, European Finance Association, vol. 26(6), pages 1345-1388.
  27. Zhang, Chris H. & Kalev, Petko S., 2021. "How noise trading affects informational efficiency: Evidence from an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  28. Elyès Jouini, 2023. "Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy," Management Science, INFORMS, vol. 69(7), pages 4190-4209, July.
  29. Arthur Beddock & Elyès Jouini, 2021. "Live fast, die young: equilibrium and survival in large economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 961-996, April.
  30. Ngene, Geoffrey M. & Mungai, Ann Nduati, 2022. "Stock returns, trading volume, and volatility: The case of African stock markets," International Review of Financial Analysis, Elsevier, vol. 82(C).
  31. Mariya Letdin & C. Stace Sirmans & G. Stacy Sirmans, 2024. "Spread Too Thin: REIT Asset Dispersion and Divergence of Opinion," The Journal of Real Estate Finance and Economics, Springer, vol. 69(2), pages 201-227, August.
  32. ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
  33. Tao Chen & Andreas Karathanasopoulos, 2022. "Do Heterogeneous Beliefs Matter to Post‐announcement Informed Trading?," Abacus, Accounting Foundation, University of Sydney, vol. 58(4), pages 714-741, December.
  34. Zimper, Alexander, 2023. "Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes," Mathematical Social Sciences, Elsevier, vol. 125(C), pages 27-41.
  35. Christopher S. Armstrong & Mirko S. Heinle & Irina Luneva, 2024. "Financial information and diverging beliefs," Review of Accounting Studies, Springer, vol. 29(3), pages 2082-2124, September.
  36. Hirota, Shinichi, 2023. "Money supply, opinion dispersion, and stock prices," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 1286-1310.
  37. Chen, Hong-Yi & Hsieh, Chia-Hsun & Lee, Cheng-Few, 2023. "Revisiting the momentum effect in Taiwan: The role of persistency," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  38. Liu, Wei & Garrett, Ian, 2023. "Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market," Economic Modelling, Elsevier, vol. 128(C).
  39. Karamti, Chiraz & Jeribi, Ahmed, 2023. "Stock markets from COVID-19 to the Russia–Ukraine crisis: Structural breaks in interactive effects panels," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
  40. Park, Beum-Jo, 2022. "The COVID-19 pandemic, volatility, and trading behavior in the bitcoin futures market," Research in International Business and Finance, Elsevier, vol. 59(C).
  41. Shubham Kakran & Nishant Sapra & Ashish Kumar & Arpit Sidhu, 2024. "Interrelationship dynamics between stock markets of nation under debt crisis and its major trading partners: evidence from Sri Lankan crisis," Future Business Journal, Springer, vol. 10(1), pages 1-15, December.
  42. Fang, Yue & Luo, Deming & Yao, Zhongwei, 2024. "Belief dispersion in the Chinese stock market and fund flows," Journal of Banking & Finance, Elsevier, vol. 166(C).
  43. Luo, Deqing & Shan, Xun & Yan, Jingzhou & Yan, Qianhui, 2023. "Sustainable investment under ESG volatility and ambiguity," Economic Modelling, Elsevier, vol. 128(C).
  44. Han, Yufeng & Huang, Dashan & Huang, Dayong & Zhou, Guofu, 2022. "Expected return, volume, and mispricing," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1295-1315.
  45. Croitoru, Benjamin & Jiao, Feng & Lu, Lei, 2024. "Nominal exchange rates and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
  46. Albert S. Kyle & Anna A. Obizhaeva & Yajun Wang, 2023. "Beliefs Aggregation and Return Predictability," Journal of Finance, American Finance Association, vol. 78(1), pages 427-486, February.
  47. Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
  48. Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
  49. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
  50. Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
  51. Hu, Wei & Zheng, Zhenlong, 2020. "Expectile CAPM," Economic Modelling, Elsevier, vol. 88(C), pages 386-397.
  52. Ifrim, Adrian, 2023. "Sentimental Discount Rate Shocks," EconStor Preprints 268363, ZBW - Leibniz Information Centre for Economics.
  53. Fu, Jie & Zhang, Xiaoqi & Zhou, Wenyuan & Lyu, Yang, 2024. "A continuous heterogeneous agent model for multi-asset pricing and portfolio construction under market matching friction," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 267-283.
  54. Negrelli, Sara, 2020. "Bubbles and persuasion with uncertainty over market sentiment," Games and Economic Behavior, Elsevier, vol. 120(C), pages 67-85.
  55. Zhou, Xinquan & Bagnarosa, Guillaume & Gohin, Alexandre & Pennings, Joost M.E. & Debie, Philippe, 2023. "Microstructure and high-frequency price discovery in the soybean complex," Journal of Commodity Markets, Elsevier, vol. 30(C).
  56. Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  57. Hu, Duni & Wang, Hailong, 2024. "Heterogeneous beliefs with preference interdependence and asset pricing," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1-37.
  58. Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).
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