Macro Disagreement and the Cross-Section of Stock Returns

Weikai Li    Weikai Li
11 Aug 2018
Categories: Macroeconomics, Investment Management, Equity Investments, Behavioral Finance

Country or region: Asia Pacific (Overall)

Summary:
This paper examines the effects of macro-level disagreement on the cross-section of stock returns. Using forecast dispersion measures from the Survey of Professional Forecasters database as proxies formacro disagreement, I find that high macro beta stocks earn lower future returns relative to lowmacro beta stocks following high macro disagreement states. This negative relation between ......


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