We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surprises. The negative effect is stronger for high-beta stocks and stocks that are more difficult to sell short. In the cross-section of all stocks and the subset of the 500 largest companies, high disagreement robustly predicts low monthly and weekly stock returns.

中文翻译：

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股票期权市场与股票回报的分歧

我们估计投资者对股票期权市场中合成多头和空头股票交易的分歧。我们表明，在出现正收益意外后，高分歧预测低股票回报，而在负收益意外后预测高股票回报。对于高贝塔值股票和更难卖空的股票，负面影响更大。在所有股票的横截面和 500 家最大公司的子集中，高度分歧有力地预测了较低的月度和周度股票回报。