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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股票期权市场和股票收益的分歧

我们估计投资者对股票期权市场上的合成多头和空头股票交易的分歧。我们表明，高分歧预测正收益意外后的低股票回报和负收益意外后的高股票回报。对于高贝塔股票和更难卖空的股票，负面影响更强。在所有股票和 500 家最大公司的子集的横截面中，高分歧有力地预测低月度和每周股票回报率。