I propose a new measure of investor disagreement using trading signals from a broad set of return predicting anomalies constructed utilizing the firm’s fundamentals and market price. Disagreement is higher for small, growth, and riskier stocks, which exhibit high fundamental uncertainty. The dispersion of trading signals significantly explains the next period trading volume over and above the factors identified in earlier literature. A move from 25th to 75th disagreement percentile predicts 12.7% higher turnover next period. The positive and significant relationship is robust to different specifications, alternative measures of turnover and disagreement, across size groups, and periods. Univariate and bivariate portfolio sorts offer similar evidence. Firm-specific information in the form of management disclosures, analyst recommendations, and media coverage also affects the disagreementvolume relationship. Investors rely less on return anomalies for firms with several sources of value relevant information and vice versa. I find the disagreement return relationship to be stronger for small firms, value stocks, levered firms, and firms with thin analyst following. 

Keywords: Disagreement, Return Anomalies, Trading Volume​