Opinion Divergence, Short-Sale Constraints, and Earnings Announcement Returns Across Analyst-Covered Firms: Miller (1977) or Varian (1985)?
重新检验意见分歧、卖空限制与盈余公告回报的关系，发现信息不对称（意见分歧的更好度量）与回报正相关，而分歧与回报的负相关由不确定性驱动；卖空限制效应仅适用于3.5%的样本公司。
ABSTRACT This paper reinvestigates opinion divergence, short-sale constraints, and earnings announcement returns, employing best practices from prior literature. I find that information asymmetry—a cleaner proxy for opinion divergence—is positively associated with returns, whereas change in asymmetry is negatively associated with returns, consistent with Varian (1985). I find that the widely documented negative association between dispersion and returns—typically interpreted as consistent with Miller (1977)—is driven by uncertainty, suggesting that dispersion may represent a noisy proxy for opinion divergence. For firms more likely to be short-sale-constrained—3.5 percent of the sample—I find evidence of a robust, general short-sale constraint (SSC) effect, consistent with Miller. Interactions of dispersion and SSC also generate results consistent with Miller, but interactions of information asymmetry and SSC generate mixed results inconsistent with Miller. Results suggest that both Varian and Miller can be true, but that Miller applies to a limited number of firms. Data Availability: Data are available from the public sources cited in the text. JEL Classifications: G14.