交易量和信号的分散

Nikhil Vidhani
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引用次数: 1

摘要

我提出了一种新的衡量投资者分歧的方法,该方法基于来自收益预测异常文献的39个因素。与交易量的理论工作一致,我表明,基于异常的分歧的一个标准差变化与下一个时期的16.7%的高周转率相关。对于不同的规范、离职和分歧的替代措施以及不同的时期,积极和显著的关系是稳健的。我证明了公司的信息环境缓和了分歧对数量的影响。分歧效应在信息公开少、信息发布复杂的企业中表现得更强。基于异常的分歧也解释了分析师的行为——这与他们的预测偏差和收益和目标价格的绝对预测误差呈正相关。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Trading Volume and Dispersion of Signals
I propose a new measure of investor disagreement based on thirty-nine factors from the return-predicting anomaly literature. Consistent with theoretical work on volume, I show that a one standard deviation change in anomaly-based disagreement is associated with a 16.7% higher turnover in the next period. The positive and significant relationship is robust to different specifications, alternative measures of turnover and disagreement, and different periods. I document that a firm's information environment moderates the effect of disagreement on volume. Disagreement effects are stronger for firms with less public information and more complex information releases. Anomaly-based disagreement also explains analyst behavior - it is positively related to their forecast dispersion and absolute forecast errors in earnings and target prices.
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