Disagreement and Learning: Dynamic Patterns of Trade

By Snehal Banerjee, Ilan Kremer. 2010

312 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ebc7a59013e2914391f7016ea76ffc2b78724991

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Citations in the corpus

Learning from Prices and the Dispersion in Beliefs (2011, methodology): “3 Noisy RE models like those of Wang (1994) and He and Wang (1995) and DO models like those of Scheinkman and Xiong (2003) and Banerjee and Kremer (2010) can generate these and other, richer patterns in return and volume dynamics.”
Financial Markets Where Traders Neglect the Informational Content of Prices (2018, unknown): “For CARA utility, we can write the expectations in (4) as − E [exp [−αi (xi(d− p) + zid)] |Ii] = − exp [ −αi ( xi (E(d|Ii)− p) + ziE(d|Ii)− 1 2 αi(xi + zi) (2)Var(d|Ii) )] , (7) where the information set Ii is equal to Iir ≡ {si, s, zi, p} if χi = 0 (where r stands for rational) and to Iic ≡ {si, s,”
Divergence of Sentiment and Stock Market Trading (2017, unknown): “These results are in line with theoretical propositions by disagreement models (e.g., Karpoff, 1986; Harris and Raviv, 1993; Banerjee and Kremer, 2010), which suggests that propositions in the disagreement literature can be applied in the sentiment literature.”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “21See Banerjee and Kremer (2010) and Banerjee (2011) for other dismissiveness-based models of trading volume.”
Investor Flows and the 2008 Boom/Bust in Oil Prices (2014, background): “In contrast in a DOE, because investors may disagree about the interpretation of public information, it is possible to generate rich patterns of comovement among asset returns, trading volume, and market price volatility (e.g., Cao and Ou-Yang (2009) and Banerjee and Kremer (2010)).”
Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, unknown): “For example, in Banerjee and Kremer’s (2009) model, trading volume arises from: (1) a belief convergence component driven by differences in prior beliefs, and (2) a belief”
Why Don't We Agree? Evidence from a Social Network of Investors (2019, unknown): “Motivated partly by this observation, a growing literature evaluates the effects of investor disagreement in financial markets (e.g., Varian, 1985; Nagel, 2005; Banerjee and Kremer, 2010; Carlin et al., 2014).”
ESG Rating Disagreement and Stock Returns (2019, background): “2002; Yu 2011; Lakonishok, Shleifer, and Vishny 1994; La Porta 1996; Skinner and Sloan 2002), others find it to be positive (Anderson et al. 2005; David 2008; Banerjee and Kremer 2010).”