Analyst Disagreement, Mispricing, and Liquidity*
发现分析师分歧大的股票往往被高估，且错误定价持续存在的一个原因是交易成本高；流动性差的股票高估更严重，市场整体流动性提升会加速价格回归基本面。
ABSTRACT This paper documents a close link between mispricing and liquidity by investigating stocks with high analyst disagreement. Previous research finds that these stocks tend to be overpriced, but that prices correct downwards as uncertainty about earnings is resolved. Our analysis suggests that one reason mispricing has persisted through the years is that analyst disagreement coincides with high trading costs. We also show that in the cross‐section, the less liquid stocks tend to be more severely overpriced. Additionally, increases in aggregate market liquidity accelerate the convergence of prices to fundamentals. As a result, returns of the initially overpriced stocks are negatively correlated with the time series of innovations in aggregate market liquidity.