We develop an overlapping generations model with disagreement about the cross-sectional distribution of investors’ preferences and beliefs. This disagreement implies different beliefs about future asset demand even if economic fundamentals are known and the resulting speculative trade leads to priced demand shocks. Demand disagreement also leads to low correlation between asset returns and economic fundamentals, excess stock market volatility, low means and volatilities of interest rates, valuation ratios predicting returns, Black’s leverage effect, and high trading volume unrelated to economic fundamentals, even in a setting with i.i.d. consumption growth and without hedging demands, recursive preferences, habit formation, or disaster risk.