We investigate the link between a firm's competitive environment and the idiosyncratic
volatility of its stock returns. We find that firms enjoying high market power, or established in …

We study asset pricing in economies featuring both risk and uncertainty. In our empirical
analysis, we measure risk via return volatility and uncertainty via the degree of disagreement …

The empirical evidence on investor disagreement and trading volume is difficult to reconcile
in standard rational expectations models. We develop a dynamic model in which investors …

We develop a dynamic model of belief dispersion with a continuum of investors differing in
beliefs. The model is tractable and qualitatively matches many of the empirical regularities in …

We examine the relationship between allegations of corporate misconduct and changes in
profitability and risk of the alleged offender. Profitability is measured as reported earnings …

The article develops a dynamic model that nests the rational expectations (RE) and
differences of opinion (DO) approaches to study how investors use prices to update their …

We study how heterogeneous beliefs affect returns and examine whether they are a priced
factor in traditional asset pricing models. To accomplish this task, we suggest new empirical …

This paper provides evidence that portfolio disagreement measured bottom-up from
individual-stock analyst forecast dispersions has a number of asset pricing implications. For …

We analyze the effects of differences of opinion on the dynamics of trading volume in stocks
and options. We find that disagreements about the mean of the current-and next-period …

We develop a model where some investors are uncertain whether others are trading on
informative signals or noise. Uncertainty about others leads to a nonlinear price that reacts …