Considerable research investigates investor disagreement, measured with very different observable metrics (proxies), as an asset return predictor. Is this research coherent? In their June 2026 paper entitled "Measuring Investor Disagreement: Proxies, Pitfalls, and a Path Forward", Christian Goulding, Campbell Harvey and Hrvoje Kurtović review the body of research on investor disagreement proxies, including those based on analyst forecasts, return volatility, trading and short interest, institutional holdings, option prices and machine learning methods. They organize these proxies into families and address the limitations of each as a standalone measure. They further address how to combine metrics into a composite variable. Based on the body of research on investor disagreement and data to compute the main investor disagreement proxies for U.S. common stocks priced over $5 during 1994 through 2025, they conclude that:
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