When Is the Price of Analysts’ Disagreement Risk Positive?

We provide robust evidence that the price of analysts' disagreement risk in the cross-section of stock returns changes sign over time; it's positive (negative) in periods of high (low) disagreement. We construct a general equilibrium model in which analysts have heterogeneous beliefs about aggregate earnings growth. The consumer does not trust either analyst fully and dynamically adjusts each analyst's weight, based on their performance. Each asset's risk premium depends on its exposure to (i) the market portfolio, (ii) aggregate earnings growth, and, (iii) a ``flight-to-safety'' factor. (i) decreases and (iii) increases with disagreement as investors choose lower cash flow beta assets during periods of high disagreement. We find support for such a flight-to-safety in the data.