Public research brief
A formula can be reproduced exactly while the signal itself changes.
Li and Luan infer disagreement from how trading volume responds to volatility around firm news. More volume unrelated to price movement suggests more disagreement. In their construction, higher volume-volatility elasticity means less disagreement, and disagreement predicts lower subsequent returns.
- The study estimates a firm-level measure from repeated intraday news events.
- The source news feed is part of the measurement, not merely a delivery mechanism.
We built a version using accessible news and filing events. Its apparent strength depended heavily on the coverage rule. Below the paywall: the conflicting evidence and the reason we stopped.
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