We construct a measure of dispersion in beliefs among individual investors. We find that dispersion in beliefs negatively predicts future cross-sectional stock returns, and it is positively related to trading volume and stock volatility.We also find that illiquidity does not affect the significance of dispersion in beliefs in predicting future stock return, and that the negative disagreement-return relation is significant under high-sentiment periods but becomes insignificant under low-sentiment periods. Moreover, investor characteristics affect their dispersion in beliefs even when controlling firm fundamentals. In particular, stocks with more wealthy, younger, and male investors tend to have higher dispersion in beliefs, and stocks with more experienced investors have lower dispersion in beliefs.
INTRODUCTIONInvestors' beliefs are central for asset pricing. It is well known that investors have different beliefs about firms' fundamentals, and this heterogeneity affects stock price and its dynamics (e.g.,
We investigate the dynamic correlation between the Bitcoin price (BTC) and the U.S. economic policy uncertainty index (USEPU) from the perspective of multifractality. Utilizing the multifractal detrended cross-correlation analysis (MF-DCCA), we confirm a long-range cross-correlation between BTC and USEPU. Moreover, the empirical results of MF-DCCA show that the power-law properties and multifractal characteristics between BTC and USEPU are significant. We further examine the long-range dependency of cross-correlation between BTC and USEPU series via the Hurst exponent test and confirm the durable cross-correlation. Finally, we introduce another multifractal indicator and examine the extent of multifractality among time series. The empirical results indicate that the BTC series, USEPU series, and the cross-correlation of BTC-USEPU present apparent multifractality, where BTC shows the strongest degree of multifractality.
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