Using recent advances in news analytics, we construct an empirical measure of aggregate news dispersion and study how a dispersed news flow a↵ects investors and aggregate stock returns. Our measure reflects the polarization of news across firms, based on millions of company-specific news items. We find that news dispersion i) predicts investor disagreement positively, ii) is positively related to turnover, iii) predicts aggregate stock returns negatively, and iv) predicts realized variance

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... ively. The e↵ects of news dispersion are consistent with models of disagreement and short-sales constraints and support the idea that a dispersed news flow represents a fundamental reason for why investors disagree.