Divergence of Opinion Surrounding Extreme Events
研究新股发行后三年内遭遇极端价格波动（单日涨跌超15%）的股票表现，发现无论涨跌，这些股票后续都显著跑输市场，且该现象与投资者意见分歧高度相关。
Abstract This paper examines the stock market performance of a large sample of new issues (IPOs and SEOs) following an extreme price movement during the first three years after the offering. Strong underperformance follows either a positive or negative (at least +/−15%) one‐day return event. This poor performance cannot be explained by the Fama‐French four‐factor methodology, or by the generally low stock returns of growth firms. Unlike recent issuers, non‐issuers report no poor performance following a similar extreme event using the four‐factor methodology. The extreme event date shows very high levels of turnover, a measure of divergence of opinion. Finally, there is a strong negative linkage between higher levels of divergence of opinion and subsequent stock performance .