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Disagreement of Disagreement / Christian L. Goulding, Campbell R. Harvey, Hrvoje KurtoviÄ.
- Format:
- Book
- Author/Creator:
- Goulding, Christian L.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w35049.
- NBER working paper series no. w35049
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2026.
- Summary:
- We show that major investor disagreement proxies have near zero correlation - making disagreement pricing inferences challenging. We develop a frictionless model that generates overpricing from latent disagreement, jointly rationalizes major proxies, and generates new testable predictions. Equilibrium interrelationships motivate a new disagreement measure, DIS, which is more predictive of returns cross-sectionally than major proxies and more consistently predictive across macroeconomic regimes. We provide evidence that the friction-based channel of Miller (1977) and a frictionless mechanism coexist and are empirically separable. DIS also provides a micro-founded, disagreement-based account of the IVOL puzzle, absorbing IVOL's predictability while revealing its regime and friction dependence.
- Notes:
- April 2026.
- Print version record
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