Theoretical models have long recognized the role of investor disagreements in the marketplace, but little evidence is documented regarding how belief dispersion affects trading activities in the broad equity market. Using over three decades of data from a survey of US households, we introduced a novel measure of household macroeconomic belief dispersion and document its positive relationship with market-wide stock trading volume, even after controlling for an array of professional analysts’ belief dispersion. Results are more pronounced for the belief dispersion among households who are more likely to own stocks. Furthermore, we show that the household belief dispersion is priced in the cross-section of stock returns, whereas that among professional analysts is not.

中文翻译：

---

谁的分歧很重要？家庭信念分散和股票交易量

理论模型早已认识到投资者分歧在市场中的作用，但关于信念分散如何影响广泛股票市场的交易活动的证据很少。我们使用来自美国家庭调查的超过 30 年的数据，引入了一种衡量家庭宏观经济信念分散度的新方法，并记录了它与全市场股票交易量的正相关关系，即使在控制了一系列专业分析师的信念分散度之后也是如此。对于更有可能拥有股票的家庭之间的信念分散，结果更为明显。此外，我们表明家庭信念分散在股票收益的横截面中定价，而在专业分析师中则没有。