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Longs, Shorts, and the Cross-Section of Stock Returns

We measure investor disagreement directly with observed short interest and long positions of hedge funds and show that disagreements about firms' prospects are prevalent among active, sophisticated investors. During the period 1997-2014, over 30% of highly shorted stocks also had high hedge fund ownership. Stocks with strong investor disagreement do not earn abnormal returns. Our results differ from those based on measures of disagreements of other market participants. The evidence is consistent with the view that disagreement among informed investors arises from active information acquisition and leads to more efficient prices.