Econ Papers Daily / 期刊论文
分歧的分歧
Disagreement of disagreement
摘要
We show that leading investor disagreement proxies have near-zero cross-correlation – making disagreement pricing inferences challenging. We develop a frictionless model that generates overpricing from latent disagreement, jointly rationalizes major proxies, and generates new testable predictions. Equilibrium interrelationships motivate a new disagreement measure, DIS, which is more predictive of returns cross-sectionally than major proxies and more consistently predictive across macroeconomic regimes. We provide evidence that the friction-based channel of Miller (1977) and a frictionless mechanism coexist and are empirically separable. DIS also provides a micro-founded, disagreement-based account of the IVOL puzzle, absorbing IVOL’s predictability while revealing its regime and friction dependence.
中文摘要
我们发现，主流投资者分歧代理变量之间的横截面相关性接近于零——这使得分歧定价推断颇具挑战。我们构建了一个无摩擦模型，该模型由潜在分歧产生高估定价，同时合理化了主要代理变量，并生成了新的可检验预测。均衡中的相互关系促使我们提出一个新的分歧度量指标DIS，其在横截面上对收益的预测能力优于主要代理变量，且在不同宏观经济体制下预测更为一致。我们提供证据表明，Miller（1977）基于摩擦的渠道与一种无摩擦机制并存，且在实证上可分离。DIS还为IVOL异象提供了一个具有微观基础、基于分歧的解释，吸收了IVOL的可预测性，同时揭示了其体制依赖性和摩擦依赖性。