Disagreement and Return Predictability of Stock Portfolios

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Belief Disagreements and Collateral Constraints (2013, background): “Consistent with this prediction, Yu (2011) shows that an increase in belief disagreements about growth stocks (measured by the dispersion of analysts forecasts about long run earnings growth) is associated with a greater price increase compared to a similar increase in belief disagreements about…”
Investor Sentiment and Economic Forces (2017, methodology): “…in the Table 12, we perform the regression analysis by controlling for the effect from funding constraints (TED) of Frazzini and Pedersen (2014), the money illusion effect (inflation) of Cohen, Polk, and Vuolteenaho (2005) and aggregate dispersion of Hong and Sraer (2016) and Yu (2011).”
Retail investor attention and stock price crash risk: Evidence from China (2019, background): “The asymmetric actions make prices reflect a more optimistic valuation and result in a slower price discovery (Hong and Stein, 2007; Yu, 2011; Chatterjee et al., 2012; Cen et al., 2013).”
Disagreement and asset prices. (2014, unknown): “Similarly, Yu (2011) uses the Institutional Brokers' Estimate System (I/B/E/S) database on analyst forecast and finds that the ex post market return is negatively related to the bottom-up disagreement.”