Differences of Opinion and the Cross Section of Stock Returns

By Karl B. Diether, Christopher J. Malloy, A. Scherbina. 2002

1,978 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c27021c0520fad128c2cf6136acdca23c0ff0498

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Citations in the corpus

Sticky Expectations and the Profitability Anomaly (2018, background): “As pointed out in prior research (see Diether et al. (2002); Robinson and Glushkov (2006)), problems can arise when actual earnings from the I/B/E/S unadjusted actuals file are matched with forecasts from the I/B/E/S unadjusted detail history file.”
Capital Market-Driven Corporate Finance (2009, background): “These are either the tip of the iceberg of market inefficiency or a curiosity in an otherwise efficient market.”
Does Asymmetric Information Drive Capital Structure Decisions (2009, neutral): “E.g., the evidence in Diether, Malloy, and Scherbina (2002) ; Pasquariello and Vega (2007); and Sadka and Scherbina (2007) suggests that dispersion in analysts’ earnings forecasts (i.e., analyst disagreement) is a better proxy for differences in opinion about a security than for information asymmet”
Speculative Betas: Speculative Betas (2016, background): “Our ﬁndings are consistent with Diether et al. (2002) and Yu (2010), who ﬁnd that dispersion of earnings forecasts predicts low returns in the cross-section and for the market return in the time-series respectively, consistent with the predictions of models with disagreement and short-sales…”
The Real Effects of Short-Selling Constraints (2014, neutral): “Finally, Reg SHO could have an adverse effect on prices at the time of the announcement by increasing the incentives of bear raiders to manipulate the value of those firms that are more susceptible to short selling activity (Goldstein and Guembel (2008) and Goldstein, Ozdenoren, and Yuan (2013)).”
The Role of Anchoring Bias in the Equity Market: Evidence from Analysts’ Earnings Forecasts and Stock Returns (2012, neutral): “Following Diether, Malloy, and Scherbina (2002), we do not distinguish between firms with different fiscal year-ends for the forecast errors.”
Do Heterogeneous Beliefs Matter for Asset Pricing (2005, background): “Diether, Malloy, and Scherbina (2002) examine short-term earnings forecast dispersion in predicting future stock returns and relate their findings to the short sale constraint literature, where increased disagreement among investors leads to lower future returns.”
Analysts’ Forecasts and Asset Pricing: A Survey (2016, neutral): “Additionally, other forces such as market mispricing and trading frictions potentially confound the empirical link between analysts’ outputs and market prices (e.g., Miller (1977), Diether, Malloy, and Scherbina (2002)).”
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013, background): “Across various asset classes, Faber (2007) shows that technical analysis improves the risk-adjusted returns.”
The effect of information quality on liquidity risk (2011, positive): “When - 15 - investors rely on analysts’ earnings forecasts to evaluate a firm, they are likely to regard forecasts as having greater precision if there is greater consensus/agreement among analysts (Lang and Lundholm, 1996; Barron et al., 1998; Diether, Malloy, and Scherbina, 2002; Zhang, 2006).”