فروش در اخبار: اختلاف نظر، محدودیت های های فروش کوتاه مدت و بازده در سراسر اعلان های سود

Miller [1977. Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151–1168] hypothesizes that prices of stocks subject to high differences of opinion and short-sales constraints are biased upward. We expect earnings announcements to reduce differences of opinion among investors, and consequently, these announcements should reduce overvaluation. Using five distinct proxies for differences of opinion, we find that high differences of opinion stocks earn significantly lower returns around earnings announcements than low differences of opinion stocks. In addition, the returns on high differences of opinion stocks are more negative within the subsample of stocks that are most difficult for investors to sell short. These results are robust when we control for the size effect and the market-to-book effect and when we examine alternative explanations such as financial leverage, earnings announcement premium, post-earnings announcement drift, return momentum, and potential biases in analysts’ forecasts. Also consistent with Miller's theory, we find that stocks subject to high differences of opinion and more binding short-sales constraints have a price run-up just prior to earnings announcements that is followed by an even larger decline after the announcements.

Miller (1977) hypothesizes that stock prices reflect an optimistic bias so long as differences of opinion exist among investors about stock value and pessimistic investors do not take adequate short positions due to institutional or behavioral reasons. In equilibrium, the overvaluation cannot persist indefinitely. With periodic announcements that reduce differences of opinion among investors, optimistic investors, on average, are disappointed and stock prices move closer to their fundamental values as investors “sell on the news”. Testing Miller's prediction on the role of differences of opinion is important because it is opposite of those from several popular asset pricing models. For example, differences of opinion relate closely to firm-specific volatility. In contrast to Miller (1977), traditional equilibrium capital asset pricing models conclude that firm-specific volatility is not associated with expected returns (e.g., Sharpe, 1964; Lintner, 1965). Some models even predict that firm-specific volatility should be positively associated with expected stock returns (e.g., Merton, 1987). Our main objective is to present new evidence on the effects of differences of opinion and short-sales constraints on stock prices. Prior empirical work on differences of opinion has not generated convincing evidence in favor of or against the Miller hypothesis. For example, Diether, Malloy, and Scherbina (2002) examine monthly returns on portfolios of stocks sorted by dispersion of analysts’ forecasts of earnings. Consistent with the Miller hypothesis, they find that stocks with high dispersion of analysts’ forecasts have lower future returns relative to stocks with low dispersion of analysts’ forecasts. In contrast, Johnson (2004) shows that the findings of Diether, Malloy, and Scherbina (2002) can be explained away by financial leverage. He concludes that the results are not consistent with the Miller hypothesis.1 Beyond dispersion of analysts’ forecasts, other volatility-related variables such as stock return volatility can be used as proxies for differences of opinion. Consistent with the Miller hypothesis, Ang, Hodrick, Xing, and Zhang (2006) find a negative relation between idiosyncratic volatility and returns. However, based on extensive robustness tests, Bali and Cakici (2008) conclude that no robust relation exists between idiosyncratic volatility and returns. Nagel (2005) extends this literature by examining the monthly returns on portfolios sorted by both differences of opinion and institutional ownership (his proxy for short-sales constraints). He finds that the poor performance of high differences of opinion stocks is concentrated among firms with low institutional holdings. In contrast, Diether, Malloy, and Scherbina (2002), Ang, Hodrick, Xing, and Zhang (2006), and Bali and Cakici (2008) do not incorporate the role of short-sales constraints in their analysis. In this paper, we investigate overpricing in relation to both differences of opinion and short-sales constraints in a more powerful setting. Potentially the most important shortcoming of prior research testing the Miller hypothesis is the assumption (implicit or explicit) that differences of opinion are reduced over a long time horizon of several months. No specific event is used to study the reduction in differences of opinion and its effect on stock prices. Instead, the authors typically use monthly returns in the manner of traditional tests of capital asset pricing models. In such settings, it is difficult to isolate the effect of differences of opinion from other effects such as financial leverage, momentum, or post-earnings announcement drift. A second important limitation of prior research is a lack of evidence about how and when stocks become overvalued. Without such evidence, findings of systematically low returns could indicate either mispricing or low risk. We take a different approach to develop a sharper and more powerful test based on an important implication of the Miller model. Assuming that at least some investors are short-sales constrained, the Miller (1977) model suggests that higher differences of opinion about stock value result in larger overvaluation. This is because the more optimistic investors’ opinions diverge further from the beliefs of the average investor. When new information is released (such as through earnings announcements), differences of opinion among investors are reduced. Upon the release of new information, average returns around those events are expected to be lower for stocks with high differences of opinion than for stocks with low differences of opinion, holding short-sales constraints fixed. To capture the effect of reductions in differences of opinion on stock prices, our analysis focuses on the three-day excess returns around earnings announcements conditional on differences of opinion as well as on short-sales constraints. Our focus on short-window returns also mitigates concerns that the results could be explained by differences in systematic risk. Over short windows, the effects from errors in the measurement of risk premia should be small.2 We choose earnings announcements as events that reduce differences of opinion among investors because managers make conscious efforts to communicate relevant information to the market through this process. Beyond information on current earnings, these announcements provide substantial details to help the market understand the financial information just released. In most cases, firms also hold a conference call in which the chief financial officer (CFO) or the chief executive officer (CEO) or both discuss the quarterly results and take questions from financial analysts. The earnings announcements and the conference calls are among the most anticipated events through which a large amount of information is conveyed to the market. This process is designed to resolve uncertainty not only about current earnings but also about other variables that determine firm value. Hence, differences of opinion among investors about stock value are likely to be reduced around earnings announcements.3 Prior empirical research (Brown and Han, 1992; Bamber, Barron, and Stober, 1997) supports this argument by showing that dispersion of analysts’ forecasts of earnings declines after earnings announcements. We verify these prior results for our sample and time period, as well as for additional proxies for differences of opinion. We also show that the reduction in differences of opinion is greater for stocks with higher levels of differences of opinion prior to earnings announcements.4 We are not suggesting that differences of opinion among investors about stock value are completely eliminated after earnings announcements. We are arguing only that, on average, differences of opinion are reduced.5 Our focus on earnings announcements also provides a novel perspective on the mechanism and timing of the overvaluation and subsequent correction. Prior theoretical research suggests that speculative trading increases in the days prior to earnings announcements, as market participants bet on the forthcoming earnings results (e.g., Kim and Verrecchia, 1991; He and Wang, 1995). In these models, both optimistic and pessimistic investors have incentives to trade prior to earnings releases, and this incentive is stronger for stocks with higher differences of opinion. At the same time the Miller model suggests that, when short-sales constraints are binding, optimists are more likely to buy than pessimists are to sell short. Consequently, in days leading up to earnings announcements, we expect to observe larger positive abnormal returns for stocks with high differences of opinion and more binding short-sales constraints. We use several ex ante proxies to capture differences of opinion among investors prior to earnings announcements. We consider stock market-based proxies, earnings-based proxies, and analysts’ forecasts-based proxies. Stock market-based proxies capture differences of opinion related to future events, earnings-based proxies capture differences of opinion related to earnings, and analysts’ forecasts-based proxies capture differences of opinion among informed investors. The specific proxies are earnings volatility, stock return volatility, standard deviation of analysts’ quarterly earnings forecasts, firm age, and share turnover. Following Nagel (2005), we use institutional ownership as a proxy for short-sales constraints to present additional evidence on the importance of the Miller hypothesis. Because institutional investors such as mutual funds and asset managers do most of the lending of shares, stocks with low institutional ownership are particularly difficult to short.6 When we examine excess returns in the three-day period around earnings announcements, conditional on institutional ownership, differences of opinion, or both, we find uniform support for Miller's theory. For example, when we condition on institutional ownership alone, we find stocks with low institutional ownership earn significantly lower excess returns than stocks with high institutional ownership in the three-day period around earnings announcements (the return on high minus low institutional ownership stock quintiles is 0.31%). Alternatively, when we condition on differences of opinion alone, we find stocks with high differences of opinion earn excess announcement period returns that are significantly lower than stocks with low differences of opinion. In this case, the three-day hedge returns (the return on high minus low differences of opinion stock quintiles) are between −0.36% and −0.83%, depending upon the proxy used. Finally, when we condition on both differences of opinion and institutional ownership, these negative hedge returns are larger still for stocks that are more likely to be short-sales constrained. In particular, for stocks with low institutional ownership, the difference in returns on high and low differences of opinion stock quintiles varies between −0.53% and −1.69%, depending upon the proxy for differences of opinion used. Together, these results consistently support Miller's theory. Focusing on earnings announcements allows us to rule out several alternative explanations for the findings. We find that financial leverage, post-earnings announcement drift, stock price momentum, or biased analysts’ forecasts do not account for our results. We also control for other potential explanations such as the size effect, the market-to-book effect, and an earnings announcement premium effect and find that our results are robust. Additional analysis using ex post changes in differences of opinion provides further support for the Miller hypothesis. Consistent with the Miller hypothesis, we also provide evidence that stocks with high differences of opinion and more binding short-sales constraints become more overvalued prior to earnings announcements. In particular, we find that these stocks experience a large and significant price run-up of approximately 1.0% in the 10-day period leading to earnings announcements. The price run-up ends when earnings are announced and is followed by a price reversal of approximately −2.5% over the 10-day period after the earnings announcements. This distinct pattern of a price run-up followed by a larger price decline over short time periods strengthens our conclusion in favor of the Miller hypothesis. Alternative theories or prior evidence (e.g., risk or prior anomalies) are unlikely to offer a satisfactorily explanation for our results because such arguments usually predict price movements in only one direction over an extended period of time. The rest of the paper is organized as follows. In Section 2 we discuss our proxies for differences of opinion and short-sales constraints. In Section 3 we describe our sample and present summary statistics. Section 4 contains our main findings on the relation between differences of opinion, short-sales constraints, and stock returns around earnings announcements. In Section 5 we examine whether alternative explanations can account for our findings. We also examine several ex post measures of changes in differences of opinion, their relation to our ex ante proxies for differences of opinion, and their relation with earnings announcement period returns. In Section 6, we show a run-up in prices prior to earnings announcements for stocks with high differences of opinion and more binding short-sales constraints. Section 7 concludes this paper.