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Different Opinion or Information Asymmetry: Machine-based Measure and Consequences

https://doi.org/10.2139/ssrn.5004801
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Disagreement about fundamentals: measurement and consequences
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Common risk factors in the returns on stocks and bonds
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An empirical examination of information, differences of opinion, and trading activity
inferredcites →https://doi.org/10.1016/j.finmar.2005.04.002openalex-snapshot
Dispersion of opinion and stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2007.05.008openalex-snapshot
Analyst coverage and earnings management
inferredcites →https://doi.org/10.1016/j.jfineco.2008.02.005openalex-snapshot
Dispersion in analysts’ earnings forecasts and credit rating
inferredcites →https://doi.org/10.1016/j.jfineco.2008.04.009openalex-snapshot
Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements☆
inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.004openalex-snapshot
Disagreement and return predictability of stock portfolios
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Maxing out: Stocks as lotteries and the cross-section of expected returns
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The short of it: Investor sentiment and anomalies
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Cash holdings, risk, and expected returns
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The other side of value: The gross profitability premium
inferredcites →https://doi.org/10.1016/j.jfineco.2014.06.003openalex-snapshot
Dispersion in beliefs among active mutual funds and the cross-section of stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2015.03.006openalex-snapshot
Market-wide attention, trading, and stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-snapshot
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-snapshot
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/j.jfineco.2019.07.006openalex-snapshot
Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns
inferredcites →https://doi.org/10.1016/j.jfineco.2020.10.003openalex-snapshot
Extrapolative Beliefs in the Cross-Section: What Can We Learn from the Crowds?
inferredcites →https://doi.org/10.1016/j.jfineco.2021.05.014openalex-snapshot
Expected return, volume, and mispricing
inferredcites →https://doi.org/10.1016/s0304-405x(00)00080-5openalex-snapshot
Trading activity and expected stock returns
inferredcites →https://doi.org/10.1016/s0304-405x(02)00223-4openalex-snapshot
Breadth of ownership and stock returns
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-snapshot
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1016/s1386-4181(97)00004-9openalex-snapshot
Liquidity and stock returns: An alternative test
inferredcites →https://doi.org/10.1017/s0022109000002544openalex-snapshot
Divergence of Opinion and Equity Returns
inferredcites →https://doi.org/10.1023/a:1020221918065openalex-snapshot
Inventory Changes and Future Returns
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/261924openalex-snapshot
A Model of Competitive Stock Trading Volume
inferredcites →https://doi.org/10.1086/262005openalex-snapshot
Differential Interpretation of Public Signals and Trade in Speculative Markets
inferredcites →https://doi.org/10.1086/497047openalex-snapshot
Stock Return Predictability and the Dispersion in Earnings Forecasts*
inferredcites →https://doi.org/10.1093/rfs/5.3.473openalex-snapshot
Differences of Opinion Make a Horse Race
inferredcites →https://doi.org/10.1093/rfs/6.2.405openalex-snapshot
Volume, Volatility, and the Dispersion of Beliefs
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-snapshot
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhag042openalex-snapshot
Machine Forecast Disagreement
inferredcites →https://doi.org/10.1093/rfs/hhw107openalex-snapshot
Mispricing Factors
inferredcites →https://doi.org/10.1093/rfs/hhz069openalex-snapshot
Short and Long Horizon Behavioral Factors
inferredcites →https://doi.org/10.1093/rfs/hhz123openalex-snapshot
Dissecting Characteristics Nonparametrically
inferredcites →https://doi.org/10.1093/rof/rfaa004openalex-snapshot
An Augmented q -Factor Model with Expected Growth
inferredcites →https://doi.org/10.1111/0022-1082.00490openalex-snapshot
Differences of Opinion and the Cross Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1977.tb03317.xopenalex-snapshot
RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-snapshot
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00695.xopenalex-snapshot
The 52‐Week High and Momentum Investing
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-snapshot
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00885.xopenalex-snapshot
Investor Sentiment and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01278.xopenalex-snapshot
Analyst Disagreement, Mispricing, and Liquidity*
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01370.xopenalex-snapshot
Asset Growth and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01371.xopenalex-snapshot
Dissecting Anomalies
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01570.xopenalex-snapshot
Disagreement and Learning: Dynamic Patterns of Trade
inferredcites →https://doi.org/10.1111/jofi.12041openalex-snapshot
International Stock Return Predictability: What Is the Role of the United States?
inferredcites →https://doi.org/10.1111/jofi.12083openalex-snapshot
Noise as Information for Illiquidity
inferredcites →https://doi.org/10.1111/jofi.12618openalex-snapshot
Belief Dispersion in the Stock Market
inferredcites →https://doi.org/10.1111/jofi.12733openalex-snapshot
Sparse Signals in the Cross‐Section of Returns
inferredcites →https://doi.org/10.1111/jofi.12852openalex-snapshot
Why Don't We Agree? Evidence from a Social Network of Investors
inferredcites →https://doi.org/10.1111/jofi.13249openalex-snapshot
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.1111/jofi.13477openalex-snapshot
Forest through the Trees: Building Cross‐Sections of Stock Returns
inferredcites →https://doi.org/10.1257/jep.21.2.109openalex-snapshot
Disagreement and the Stock Market
inferredcites →https://doi.org/10.1287/mnsc.2023.4695openalex-snapshot
Deep Learning in Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.2155491openalex-snapshot
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.2139/ssrn.2754086openalex-snapshot
Why Don't We Agree? Evidence from a Social Network of Investors
inferredcites →https://doi.org/10.2139/ssrn.3726609openalex-snapshot
Maximizing the Sharpe Ratio: A Genetic Programming Approach
inferredcites →https://doi.org/10.2307/1884166openalex-snapshot
Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
inferredcites →https://doi.org/10.2307/1913210openalex-snapshot
Continuous Auctions and Insider Trading
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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Persuasive evidence of market inefficiency
inferredcites →https://doi.org/10.7916/d8765r99openalex-snapshot
On the Impossibility of Informationally Efficient Markets
inferredcites →https://doi.org/10.7916/d8959tj2openalex-snapshot
Information and Competitive Price Systems
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