Effect Of Dispersion In Beliefs On Stock Excess Returns

Many financial anomalies that cannot be interpreted by asset pricing theory emerged in capital market since the 1980s,which made economists question the hypothesis of classicalfinancial theory,so that they started to investigate the new asset pricing rule from the perspective of dispersion in beliefs.The studies made by domestic and overseas researchers showed that the variation of investors' belief dispersion influences stock excess returns.As the study proceeds,scholars subdivided investors' dispersion in beliefs and they generally believed that the ordinary investors' dispersion in beliefs usually negatively influence stock excess returns,but the influence of professional investors' dispersion in belies on stock excess returns is different from that of ordinary investors.This paper aims to investigate the influence of dispersion in beliefs of fund on stock excess returns.Based on the existing research achievements,the investors in market were subdivided and the study hypothesis was proposed directing at China open-ended fund.In order to analyze the causes of dispersion in beliefs of fund,the open-ended fund holdings during December 2006-December 2016 were selected as samples,and the effective computing method was applied to carry out quantization process on dispersion in belief of fund.The ordinary expected stock excess returns or accumulated stock excess returns during surplus announcement period were regarded as the explained variables;dispersion in beliefs of fund and increment of dispersion in beliefs of fund were taken as explanatory variables.By means of multiple linear regression,cross-section regression and quantile regression,the empirical analyses were inplemented on the influence of dispersion in beliefs of fund on stock excess returns.The empirical result indicates that(1)The dispersion in beliefs of fund positively influences stock excess returns,and the increment of dispersion in beliefs of fund negatively influences stock excess returns.(2)The dispersion in beliefs of fund positively influences stock excess returns during surplus announcement period,and the increment of dispersion in beliefs of fund negatively influences stock excess returns during surplus announcement period.