Publication Type
PhD Dissertation
Version
publishedVersion
Publication Date
5-2020
Abstract
Disagreement measures are known to predict cross-sectional stock returns but fail to predict market returns. This paper proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and shows that this index significantly predicts market returns both in- and out-ofsample. Consistent with the theory in Atmaz and Basak (2018), the disagreement index asymmetrically predicts market returns with greater power in high sentiment periods, is positively associated with investor expectations of market returns, predicts market returns through a cash flow channel, and can explain the positive volume-volatility relationship.
Keywords
Disagreement, Return predictability, PLS, PCA, LASSO, Machine learning
Degree Awarded
PhD in Business (Finance)
Discipline
Finance | Finance and Financial Management
Supervisor(s)
HUANG, Dashan
First Page
1
Last Page
150
Publisher
Singapore Management University
City or Country
Singapore
Citation
LI, Jiangyuan.
Three essays on financial economics. (2020). 1-150.
Available at: https://ink.library.smu.edu.sg/etd_coll/283
Copyright Owner and License
Author
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.