Erschienen in:Rotman School of Management Working Paper ; No. 2493831
Umfang:
1 Online-Ressource (47 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2493831
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 14, 2017 erstellt
Beschreibung:
In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks owned by these investors. The pricing effects of investor disagreements crucially depend on the average belief biases. Empirical findings support the novel model prediction of a disagreement spillover effect and help reconcile some mixed evidence in the literature