TAILIEUCHUNG - Disagreement and the Stock Market

Over the last twenty years, the field of behavioral finance has grown from a startup operation into a mature enterprise, with well-developed bodies of both theory and empirical evidence. On the empirical side, the benchmark null hypothesis is that one should not be able to forecast a stock’s return with anything other than measures of its riskiness, such as its beta; this hypothesis embodies the familiar idea that any other form of predictability would represent a profitable trading rule and hence a free lunch to investors. Yet in a striking rejection of this null, a large catalog. | Disagreement and the Stock Market Harrison Hong and Jeremy C. Stein Harrison Hong is Professor of Economics Princeton University Princeton New Jersey. Jeremy C. Stein is Moise Y. Safra Professor of Economics Harvard University and Research Associate National Bureau of Economic Research both in Cambridge Massachusetts. Their e-mail addresses are hhong@ and jeremy_stein@ respectively. Over the last twenty years the field of behavioral finance has grown from a startup operation into a mature enterprise with well-developed bodies of both theory and empirical evidence. On the empirical side the benchmark null hypothesis is that one should not be able to forecast a stock s return with anything other than measures of its riskiness such as its beta this hypothesis embodies the familiar idea that any other form of predictability would represent a profitable trading rule and hence a free lunch to investors. Yet in a striking rejection of this null a large catalog of variables with no apparent connection to risk have been shown to forecast stock returns both in the time series and the cross-section. Many of these results have been replicated in a variety of samples and have stood up sufficiently well that they are generally considered to be established facts. One prominent set of patterns from the cross-section has to do with medium-term momentum and post-earnings drift in returns. These describe the tendency for stocks that have had unusually high past returns or good earnings news to continue to deliver relatively strong returns over the subsequent six to twelve months and vice-versa for stocks with low past returns or bad earnings news . Early work in this area includes Jegadeesh and Titman 1993 on momentum and Bernard and Thomas 1989 1990 on post-earnings drift. Another well-established pattern is longer-run fundamental reversion the tendency for glamour stocks with high ratios of market value to earnings cashflows or book value to deliver weak .

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