Do Heterogeneous Beliefs Matter for Asset Pricing

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ESG Rating Disagreement and Stock Returns (2019, background): “Anderson, Ghysels, and Juergens (2005) reached the opposite conclusion.”
Learning from Prices and the Dispersion in Beliefs (2011, background): “Anderson et al. (2005) develop a general equilibrium model in which dispersion in beliefs is a risk factor and find evidence of a negative relationship between expected returns and short-term dispersion, but a positive relationship between returns and long-term dispersion.”
The impact of risk and uncertainty on expected returns. (2009, background): “3 A number of authors, including Anderson, Ghysels, and Juergens (2005) and Qu, Starks, and Yan (2003) find that more disagreement, as measured by the dispersion of earnings forecasts, implies higher expected returns.”
Understanding the Penalties Associated with Corporate Misconduct: An Empirical Examination of Earnings and Risk (2009, background): “Anderson, Ghysels, and Juergens (2005) and Qu, Starks, and Yan (2003) show that the dispersion of analysts’ forecasts has explanatory power for stock returns.”
A Comparison of New Factor Models (2017, background): “Panel A: Momentum (57) Sue1 Earnings surprise (1-month holding period), Sue6 Earnings surprise (6-month holding period), Foster, Olsen, and Shevlin (1984) Foster, Olsen, and Shevlin (1984) Sue12 Earnings surprise Abr1 Cumulative abnormal stock returns (12-month holding period), around earnings annou”