In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market risk premia. If there is a source of heterogeneity in the belief structure of the economy then differences in beliefs can affect equilibrium asset prices, and the dynamics of...

This paper documents large micro-heterogeneity and forecasting skill in the cross-section of survey based bond risk premia. We reject informationally constrained rational expectations but show a learning model distorted by sentiment is consistent with the data. Aggregating, we propose a belief...

The central ingredient of empirical asset pricing tests is the (expected) risk premium. However, heterogeneity in expectations makes aggregation of beliefs a non-trivial task. This paper proposes a novel approach to estimate subjective bond risk premia based on the historical accuracy of...