News-based investor disagreement and stock returns
通过新闻交易量-波动率弹性度量投资者对新闻的意见分歧，发现分歧越大未来股票收益越低，且该关系在乐观效应主导时更强。
Abstract We estimate investors’ disagreement regarding firm news and assess its ability to predict stock returns. Specifically, we quantify firm-level investor disagreement through the volume-volatility elasticity surrounding firm news; higher elasticity is associated with less investor disagreement. Intuitively, disagreement introduces additional trading motives that are not driven by price changes, weakening the connection between volume and volatility. Our findings indicate that investor disagreement on news negatively predicts cross-sectional returns. We also present empirical evidence aligned with the theoretical predictions of a recently developed model by Atmaz and Basak (Journal of Finance 73 (3): 1225–1279 2018) that the negative disagreement-stock relation strengthens when the optimism effect dominates the uncertainty effect. Importantly, this predictive relationship remains robust after controlling for news heterogeneity, other volume- and volatility-based measures, and alternative channels.