Disagreement in the Equity Options Market and Stock Returns
利用期权市场中的合成多空头交易估算投资者意见分歧，发现高分歧在正面盈利意外后预测低股票收益，在负面盈利意外后预测高收益，且对高贝塔和难卖空股票影响更强。
Abstract We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surprises. The negative effect is stronger for high-beta stocks and stocks that are more difficult to sell short. In the cross-section of all stocks and the subset of the 500 largest companies, high disagreement robustly predicts low monthly and weekly stock returns.