Two ex-ante variables are introduced to characterize the analysts’ biased behavior, namely the analysts’ disagreement and self-selection in analysts’ coverage. The study investigates the impact of the analysts’ disagreement and self-selection on the stock returns. A theoretical analysis...

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...

I set up a model in which two types of ambiguity-averse traders disagree on how to interpret a public signal. When traders first observe contradicting interpretations of the signal, they don't know whether to attribute the clash of opinions to different information processing or to information...

Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the short (long) leg experience the highest (lowest) returns on Monday. The opposite pattern is observed on Fridays. The effects are large; Monday (Friday) alone accounts for over...

Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower average returns. Because speculative stocks overlap with stocks deemed risky by rational models, failing to control for exposure to systematic mispricing can bias tests of...

We provide strong evidence that the dispersion of individual stock options trading volume across moneynesses (IDISP) contains valuable information about future stock returns. Stocks with high IDISP consistently underperform those with low IDISP by more than 1% per month. In line with the idea...

We provide new evidence on investor disagreement based on a model where investors observe public information but agree to disagree on its interpretation. Specifically, we measure firm-level investor disagreement by the intraday volume-volatility elasticity around corporate news announcement. A...

We find that strong disagreements between hedge funds and other institutions in their common stock trades are twice as likely as agreements. The overall success of hedge funds’ trades is confined to disagreement stocks. While hedge funds are on average positive feedback traders, albeit weaker...

We construct a parsimonious set of equity factors by sorting stocks according to the sociodemographic characteristics of the individual investors who own them. The analysis uses administrative data on the stockholdings of Norwegian investors in 1997-2018. Consistent with financial theory, a...