Macro Disagreement and the Cross-Section of Stock Returns
研究了宏观层面的分歧对股票回报横截面的影响，发现高宏观贝塔股票在宏观分歧高时未来回报更低，表明其被高估。
This paper examines the effects of macro-level disagreement on the cross-section of stock returns. Using forecast dispersion measures from the Survey of Professional Forecasters database as proxies for macro disagreement, I find that high macro beta stocks earn lower future returns relative to low macro beta stocks following high macro disagreement states. This negative relation between returns for macro factors and macro disagreement is robust and exists for a large set of macroeconomic factors, suggesting that high macro beta stocks are overvalued compared with low macro beta stocks due to their greater sensitivity to aggregate disagreement