Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement
研究了投资者对两只股票基本面存在分歧时，大公司投资者分歧会溢出影响其他股票定价，实证支持这一新模型预测。
In a model where investors disagree about the fundamentals of two stocks, the state-price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks owned by these investors. The pricing effects of investor disagreements crucially depend on the average belief biases. Empirical findings support the novel model prediction of a disagreement spillover effect and help reconcile some mixed evidence in the literature.