Working Paper: CEPR ID: DP14677
Authors: Yencheng Chang; Peijie Hsiao; Alexander Ljungqvist; Kevin Tseng
Abstract: 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. Consistent with models of investor disagreement, EDGAR inclusion helps resolve disagreement around information events, leading to stock price corrections. The reduction in disagreement following EDGAR inclusion also reduces stock price crash risk, especially among stocks with binding short-sale constraints and high investor optimism.
Keywords: No keywords provided
JEL Codes: No JEL codes provided
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| investor disagreement (G24) | stock price crash risk (G17) |
| EDGAR inclusion (G39) | investor disagreement (G24) |
| reduction in investor disagreement (G40) | stock price corrections (G12) |