Anderson, Evan W.; Ghysels, Eric; Juergens, Jennifer L. - In: Review of Financial Studies 18 (2005) 3, pp. 875-924
We study how heterogeneous beliefs affect returns and examine whether they are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected earnings (short-term and long-term) and show they...