Replication Package for "Disagreement of Disagreement" (Journal of Financial Economics)

Description

This package reproduces every table in "Disagreement of Disagreement" by Goulding, Harvey & Kurtović, published in the Journal of Financial Economics. Abstract: We show that major investor disagreement proxies have near zero 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 frictionbased 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.

Institutions

• Auburn University

  Alabama, Auburn
• Duke University

  North Carolina, Durham
• University of Lausanne

  Vaud, Lausanne

Categories

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