Testing Disagreement Models
利用EDGAR系统分阶段实施的自然实验，发现投资者分歧降低会修正股价、减少崩盘风险，尤其对卖空受限和高乐观的股票影响更大。
ABSTRACT We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction in investor disagreement. Consistent with models of investor disagreement, EDGAR inclusion helps resolve disagreement around information events, leading to stock price corrections. The reduction in disagreement following EDGAR inclusion also reduces stock price crash risk, especially among stocks with binding short‐sale constraints and high investor optimism.