论文名称：Individual investors' dispersion in beliefs and stock returns

作者：Ma, JJ ; Li, XD; Lu, L ;吴卫星; Xiong, X

刊名：FINANCIAL MANAGEMENT

发表时间：2022.09

We construct a measure of dispersion in beliefs among individual investors. We find that dispersion in beliefs negatively predicts future cross-sectional stock returns, and it is positively related to trading volume and stock volatility. We also find that illiquidity does not affect the significance of dispersion in beliefs in predicting future stock return, and that the negative disagreement-return relation is significant under high-sentiment periods but becomes insignificant under low-sentiment periods. Moreover, investor characteristics affect their dispersion in beliefs even when controlling firm fundamentals. In particular, stocks with more wealthy, younger, and male investors tend to have higher dispersion in beliefs, and stocks with more experienced investors have lower dispersion in beliefs.