Macro Announcement Disagreement Observed in the Cross Section of Stocks
Date: 10/09/2020 (Fri)
Time: 11:45am- 1:00pm
Location: Zoom (https://duke.zoom.us/s/95435716057)
Organizer: Leonardo Salim Saker Chaves
Meeting Schedule: (Not currently open for scheduling. Please contact the seminar organizer listed above.)
11:45am - Seminar Presentation (11:45am to 1:00pm)
Additional Comments: Abstract: We use intraday price and volume from a cross section of S&P500 stocks to determine whether investors disagree when they process relevant macro-news announcements. If investors do disagree, we identify the systematic components that drive disagreement. The high frequency data on stocks price and trade enable us to precisely isolate the news impact, and we follow the volume-volatility elasticity framework to interpret our estimation. From the literature, we consider different stock characteristics that contribute to investor disagreement: idiosyncratic volatility, market size, value, and percent of institutional ownership. Our findings suggest that investors do disagree whenever there is more uncertainty about future payoffs, in which case idiosyncratic volatility has the greatest explanatory power. Furthermore, the different stock characteristics explain, to a large extent, the deviation in the case of no disagreement. Additionally, we explore the direction of stock misprice and verify that the overall investor disagreement may not be observed fully due to arbitrage constraints.