Opinion Divergence Among Professional Investment Managers
利用机构交易数据发现，专业投资经理之间普遍存在意见分歧；当经理们交易方向一致时，未来收益与交易方向无关，但方向相反时收益较低，尤其在卖空受限的股票上，这支持了Miller关于意见分歧导致价格高估的假说。
Abstract: We find that opinion divergence among professional investment managers is commonplace, using a large sample of transaction‐level institutional trading data. When managers trade together, future returns are similar regardless if they are all buying or selling, inconsistent with the notion that professional investment managers possess stock picking ability or private information that is of investment value. However, when managers trade against each other, subsequent returns are low, especially for stocks that are difficult to short. This U‐shaped disagreement‐return relationship is consistent with Miller's (1977) hypothesis that, in the presence of short‐sale constraints, opinion divergence can cause an upward bias in prices.