Composite Measure of Investor Disagreement

Do different proxies for investor disagreement widely used as stock return predictors (analyst forecast dispersion, idiosyncratic volatility and trading volume) generally agree? In their November 2023 paper entitled “Disagreement of Disagreement”, Christian Goulding, Campbell Harvey and Hrvoje Kurtović examine relationships among these three types of investor disagreement and propose a non-linear composite of them. They then test the ability of this composite metric to predict differences in stock returns. Using daily data for all publicly traded U.S. firms with stock prices over $5 and adequate price series during January 1994 through December 2016, they find that:

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