Disagreement and Stock Prices in the JASDAQ: An Empirical Investigation Using Market Survey Data

This article empirically examines "disagreement" models using JASDAQ market data by exploiting institutional investors' forecasts of future stock prices. We use the standard deviations of the one-month ahead forecasts of stock prices in the QSS Equity Survey as the measure of disagreement in the market. The results indicate that an increase in disagreement is associated with an increase in contemporaneous stock returns and lower average expected returns. In terms of the latter, while the survey data provides an average assessment of marketwide expectations, when disagreement is high the current market price tends to reflect the opinions of more optimistic market participants. These results contrast with comparable findings using TOPIX data (representing larger firms on the Tokyo Stock Exchange's first section) that contradict the predictions of disagreement models. One reason posited is that firms on the JASDAQ market are much smaller and the number of market participants more limited. Accordingly, institutional "limits of arbitrage", such as short-sale and liquidity constraints, are more binding and their influence on stock prices is thereby greater.日本学術振興会・科学研究費補助金（学術創成研究費） = JSPS Grant-in-Aid for Creative Scientific Research19, [3] p