Paper by Simon Rottke published in the The Review of Financial Studies
The paper 'The Dynamics of Disagreement' by research fellow Simon Rottke (University of Amsterdam) has been published in the The Review of Financial Studies.
The abstract reads: In this paper, we infer how the estimates of firm value by “optimists” and “pessimists” evolve in response to information shocks. Specifically, we examine returns and disagreement measures for portfolios of short-sale-constrained stocks that have experienced large gains or large losses. Our analysis suggests the presence of two groups, one of which overreacts to new information and remains biased over about 5 years, and a second group, which underreacts and whose expectations are unbiased after about 1 year. Our results have implications for the belief dynamics that underlie the momentum and long-term reversal effect.
Citation
Kent Daniel, Alexander Klos, and Simon Rottke, “The Dynamics of Disagreement", The Review of Financial Studies, 2022, doi.org/10.1093/rfs/hhac075