We build a Kyle-type pricing model with earnings and trading signals and estimate its deep parameters - the information advantages of traders and firms, the correlation between the firm and traders' information, and the noise variance. Moment conditions derived from the pricing rule yield a...

We propose a new measure of investor disagreement based on thirty-nine factors from the return-predicting anomaly literature. Consistent with theoretical work on volume, we show that a one standard deviation change in anomaly-based disagreement is associated with a 16.7% higher turnover in the...