Goetzmann, William; Massa, Massimo - C.E.P.R. Discussion Papers - 2004
-based measure of dispersion of opinion, unlike the analyst based measure used in the literature. We use this measure to test two … that supports the sidelined-investors hypothesis. We show that the dispersion of opinion of the investors in a stock is …. Moreover, dispersion of opinion aggregates across many stocks and generates factors that have a market-wide effect, affecting …