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  • Difference of opinion and the cross-section of equity returns: Australian evidence

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    GharghoriPUB1535.pdf (321.6Kb)
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    Accepted Manuscript (AM)
    Author(s)
    Gharghori, Philip
    See, Quin
    Veeraraghavan, Madhu
    Griffith University Author(s)
    Veeraraghavan, Madhu
    Year published
    2011
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    Abstract
    This paper examines the relationship between difference of opinion among investors and the return on Australian equities. The paper is the first to employ dispersion in analysts' earnings forecasts, abnormal turnover and idiosyncratic volatility as proxies for difference of opinion. We document a negative relationship between difference of opinion and stock returns when dispersion in analysts' forecasts and idiosyncratic volatility are employed as proxies. This result provides support for Miller's (1977) model and is consistent with the findings of Diether et al. (2002). In contrast, we find mixed results when using abnormal ...
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    This paper examines the relationship between difference of opinion among investors and the return on Australian equities. The paper is the first to employ dispersion in analysts' earnings forecasts, abnormal turnover and idiosyncratic volatility as proxies for difference of opinion. We document a negative relationship between difference of opinion and stock returns when dispersion in analysts' forecasts and idiosyncratic volatility are employed as proxies. This result provides support for Miller's (1977) model and is consistent with the findings of Diether et al. (2002). In contrast, we find mixed results when using abnormal turnover to proxy difference of opinion.
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    Journal Title
    Pacific Basin Finance Journal
    Volume
    19
    Issue
    4
    DOI
    https://doi.org/10.1016/j.pacfin.2011.03.004
    Copyright Statement
    © 2011 Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence (http://creativecommons.org/licenses/by-nc-nd/4.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, providing that the work is properly cited.
    Subject
    Banking, Finance and Investment not elsewhere classified
    Accounting, Auditing and Accountability
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/172414
    Collection
    • Journal articles

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