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- Publisher Website: 10.1287/mnsc.2019.3380
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Article: Offsetting Disagreement and Security Prices
Title | Offsetting Disagreement and Security Prices |
---|---|
Authors | |
Keywords | Investor Disagreement Belief-Crossing Portfolio Discounts |
Issue Date | 2020 |
Publisher | INFORMS. The Journal's web site is located at http://mansci.pubs.informs.org |
Citation | Management Science, 2020, v. 66 n. 8, p. v, 3295-3798, iii-iv How to Cite? |
Abstract | We propose that investor beliefs frequently “cross” in the sense that an investor may like company A, but dislike company B, while another investor may like company B, but dislike company A. Belief-crossing makes it almost impossible to construct a portfolio that is comprised solely of every investor’s most favorite companies. This causes the level of excitement for portfolios to be generally less than the levels of excitement that individual companies receive from their most fervent supporters. Coupled with short-sale constraints, wherein prices are set by the most optimistic investors, this causes portfolios to trade at discounts. Utilizing various settings where the value of the portfolio and the values of the underlying components can be separately evaluated (e.g., closed-end funds), we present evidence supporting our proposition that, in financial markets, the “whole” is often less than the “sum of its parts.” |
Persistent Identifier | http://hdl.handle.net/10722/274547 |
ISSN | 2023 Impact Factor: 4.6 2023 SCImago Journal Rankings: 5.438 |
SSRN | |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Huang, S | - |
dc.contributor.author | Hwang, B-H | - |
dc.contributor.author | Lou, D | - |
dc.contributor.author | Yin, C | - |
dc.date.accessioned | 2019-08-18T15:03:54Z | - |
dc.date.available | 2019-08-18T15:03:54Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Management Science, 2020, v. 66 n. 8, p. v, 3295-3798, iii-iv | - |
dc.identifier.issn | 0025-1909 | - |
dc.identifier.uri | http://hdl.handle.net/10722/274547 | - |
dc.description.abstract | We propose that investor beliefs frequently “cross” in the sense that an investor may like company A, but dislike company B, while another investor may like company B, but dislike company A. Belief-crossing makes it almost impossible to construct a portfolio that is comprised solely of every investor’s most favorite companies. This causes the level of excitement for portfolios to be generally less than the levels of excitement that individual companies receive from their most fervent supporters. Coupled with short-sale constraints, wherein prices are set by the most optimistic investors, this causes portfolios to trade at discounts. Utilizing various settings where the value of the portfolio and the values of the underlying components can be separately evaluated (e.g., closed-end funds), we present evidence supporting our proposition that, in financial markets, the “whole” is often less than the “sum of its parts.” | - |
dc.language | eng | - |
dc.publisher | INFORMS. The Journal's web site is located at http://mansci.pubs.informs.org | - |
dc.relation.ispartof | Management Science | - |
dc.subject | Investor Disagreement | - |
dc.subject | Belief-Crossing | - |
dc.subject | Portfolio Discounts | - |
dc.title | Offsetting Disagreement and Security Prices | - |
dc.type | Article | - |
dc.identifier.email | Huang, S: huangsy@hku.hk | - |
dc.identifier.authority | Huang, S=rp02052 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1287/mnsc.2019.3380 | - |
dc.identifier.scopus | eid_2-s2.0-85094912219 | - |
dc.identifier.hkuros | 301112 | - |
dc.identifier.hkuros | 309548 | - |
dc.identifier.volume | 66 | - |
dc.identifier.issue | 8 | - |
dc.identifier.spage | 3295 | - |
dc.identifier.epage | 3798, iii-iv | - |
dc.identifier.isi | WOS:000555782600010 | - |
dc.publisher.place | United States | - |
dc.identifier.ssrn | 2389730 | - |
dc.identifier.issnl | 0025-1909 | - |