Using the data in Chinese stock market, we measure the individual stock sentiment beta,
which is defined as the sensitivity of individual stock returns to the individual stock sentiment …

We investigate the predictive role of global economic uncertainty exposure at the firm level
in the top‐five developed stock markets outside the US. Applying portfolio‐level sorting …

We examine the effect of macro disagreement on stock returns in an international context.
Except for Italy, all G7 countries present a significant local disagreement beta effect, which is …

The asset pricing Literature suggests market sentiment is a state variable. This study shows
that market sentiment is positively priced at the cross‐section of stock returns, conditional on …

We develop a dynamic general equilibrium asset pricing model with heterogeneous beliefs
to study the effects of monetary policy on prices, risk premia, asset price bubbles, and …

We study how macroeconomic uncertainty (EU) manifests into the cross-sectional variations
of the credit default swap (CDS)-bond bases. We develop a model in which common EU …

I set up a disagreement model where traders not only have different interpretations of a
public signal that conveys information of a stock, but are also uncertain about the information …

This paper examines the implications of US subjective macroeconomic disagreement for
international asset pricing. We construct a US subjective macroeconomic disagreement …

This study examines the role of market disagreement in explaining the cross-section of
hedge fund performance. In a market where disagreement fluctuates, skilled arbitrageurs …

We study the disagreement of foreign exchange (FX) dealers using proprietary survey data
on dealers' price quotes of four currency derivatives with varying tenors. Dealer …