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- Title
Disagreement in the Equity Options Market and Stock Returns.
- Authors
Golez, Benjamin; Goyenko, Ruslan
- Abstract
We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surprises. The negative effect is stronger for high-beta stocks and stocks that are more difficult to sell short. In the cross-section of all stocks and the subset of the 500 largest companies, high disagreement robustly predicts low monthly and weekly stock returns.
- Subjects
OPTIONS (Finance); RATE of return on stocks; EQUITY (Law); EARNINGS per share; INVESTORS
- Publication
Review of Financial Studies, 2022, Vol 35, Issue 3, p1443
- ISSN
0893-9454
- Publication type
Article
- DOI
10.1093/rfs/hhab078