The Dynamics of Disagreement
研究了乐观者和悲观者对企业价值的估计如何随信息冲击演变，发现一组过度反应且偏差持续约5年，另一组反应不足且约1年后偏差消失，对理解动量与长期反转效应有启示。
Abstract In this paper, we infer how the estimates of firm value by “optimists” and “pessimists” evolve in response to information shocks. Specifically, we examine returns and disagreement measures for portfolios of short-sale-constrained stocks that have experienced large gains or large losses. Our analysis suggests the presence of two groups, one of which overreacts to new information and remains biased over about 5 years, and a second group, which underreacts and whose expectations are unbiased after about 1 year. Our results have implications for the belief dynamics that underlie the momentum and long-term reversal effect. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.