We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction in investor disagreement. Consistent with models of investor disagreement, EDGAR inclusion helps resolve disagreement around information events, leading to stock price corrections. The reduction in disagreement following EDGAR inclusion also reduces stock price crash risk, especially among stocks with binding short-sale constraints and high investor optimism.

中文翻译：

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测试分歧模型

我们为投资者分歧在资产定价中的作用提供了可信的证据。我们的自然实验利用了电子数据收集、分析和检索 (EDGAR) 系统的交错实施，从而减少了投资者的分歧。与投资者分歧模型一致，EDGAR 包容性有助于解决围绕信息事件的分歧，从而导致股价修正。EDGAR 纳入后分歧的减少也降低了股价崩盘的风险，尤其是在具有约束性卖空限制和投资者高度乐观的股票中。