Does Disagreement Facilitate Informed Trading?
利用StockTwits的高频分歧数据，发现非专业投资者的分歧促进了知情买卖，但估值过高时对知情买方的促进减弱，对知情卖方则增强。
Abstract Using high-frequency disagreement data from the investor social network StockTwits, we find that greater unsophisticated disagreement facilitates informed buying and selling. During periods of overvaluation, the facilitating effect of disagreement on trading is dampened for informed buyers but is amplified for informed sellers. These findings are unexplained by sentiment, news, and retail order flow, and they remain when we measure disagreement overnight and disagreement of technical investors, which alleviates the concern that disagreement and informed trading respond to a common shock. These findings suggest that informed traders respond meaningfully but differently to valuation changes induced by unsophisticated disagreement.