This paper investigates whether firm-specific news increases investor disagreement. First, we find that stock prices are convex in relation to news, confirming that prices on news days reflect the risk compensation of opinion divergence. Second, using unexplained trading volume as a proxy for investor disagreement, we confirm that investor disagreement is significantly increased on news days. Third, we find that news-day unexplained trading volume is positively priced in the cross-section, confirming that disagreement is associated with a positive risk premium. Such positive prices are related to higher return volatility and greater price convexity. Finally, we distinguish empirically between two competing channels regarding how trading volume gets incorporated into asset prices when trading volume is a proxy for disagreement. We find that news-day unexplained trading volume is associated with high liquidity and low average bias, which reduces the effect of optimistic views.