Individual investors' dispersion in beliefs and stock returns
构建个人投资者信念分散度指标，发现其负向预测未来股票收益，且与交易量和波动率正相关；高情绪期负相关显著，低情绪期不显著；投资者财富、年龄、性别和经验影响分散度。
Abstract We construct a measure of dispersion in beliefs among individual investors. We find that dispersion in beliefs negatively predicts future cross‐sectional stock returns, and it is positively related to trading volume and stock volatility. We also find that illiquidity does not affect the significance of dispersion in beliefs in predicting future stock return, and that the negative disagreement‐return relation is significant under high‐sentiment periods but becomes insignificant under low‐sentiment periods. Moreover, investor characteristics affect their dispersion in beliefs even when controlling firm fundamentals. In particular, stocks with more wealthy, younger, and male investors tend to have higher dispersion in beliefs, and stocks with more experienced investors have lower dispersion in beliefs.