Economics, Econometrics and Finance
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High disagreement in options market predicts stock returns after earnings surprises.

Review of Financial Studies
Disagreement in the Equity Options Market and Stock Returns
Benjamin Golez, Ruslan Goyenko

Paper Summary

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Investor disagreement in the stock market can predict how stock prices will change after companies announce their earnings. When investors disagree a lot, stocks tend to have lower returns after good earnings news and higher returns after bad earnings news. This effect is stronger for riskier stocks and those that are harder to sell short. Overall, high disagreement among investors tends to lead to lower stock returns in both the short and long term.